Banco BPM S p A : Inside Information / Ad Hoc Information - BANCO BPM SOCIETA PER AZIONI - IT0005697450 BcBPM 4,26% 06/03/2036

Milan, 4 May 2026

This document constitutes the schedule of the Underlying Transactions ("Schedule of Underlying Transactions") relating to the issue of Notes described in caption. Capitalised terms used but not defined herein shall have the same meaning of those defined in the Base Prospectus of €5,000,000,000 Euro Medium Term Note Private Placement Programme dated 6 August 2025 and first supplement to the Base Prospectus dated 17 September 2025, the second supplement to the Base Prospectus dated 23 December 2025 and the third supplement to the Base Prospectus dated 6 February 2026.

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

For additional information on the terms and conditions of the Notes, see the relevant Final Terms applicable to the issuance, as well as the section entitled "Terms and Conditions of the Dematerialised Notes" of the Base Prospectus dated 6 Augus 2025.

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

1. Cash-CDS Arbitrage:

   Cash-CDS Arbitrage refers to a strategy where being long (short) on a Cash Instrument while being short (long) in Replicating CDS.

   Cash Instrument refers to any debt obligation (including any obligation issued by the Issuer) or basket of debt obligations, under security or loan format, with maturities and notional that can be longer and/or higher, respectively, than the Maturity Date and aggregate principal amount of the relevant Notes.

   Replicating CDS refers to a credit default swap transaction having similar maturity and principal amount as the Cash Instrument, and having as a reference entity the Cash Instruments issuer or the Cash Instrument guarantor (including the Issuer or an Issuer's affiliate), or, in the case of Cash Instrument that are asset-backed obligations or credit linked obligations, any credit entity or any credit risk embedded in such Cash Instrument.

2. Asset Swap Arbitrage

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

   Bond A and Bond B refer to debt obligations issued by a government or another issuer, that have the same seniority, similar maturities and with coupon payments and/or redemption value that may be linked to a specific consumer price index or settled at par. Bond A and Bond B are issued by the same entity, or, if issued by different entities, subject to a substantially identical level of credit risk due to any form of credit support (including guarantees and/or securities provided by the same entity). In both cases the Bonds share the same seniority and similar maturities.

3. Index-Components Arbitrage

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

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

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

4. General Arbitrage

General Arbitrage refers to a strategy involving a long position in an Asset Instrument and a short position in a Replicating Derivatives

Asset Instruments refer to any instrument (including funds or obligations, also asset-backed) carrying title to, or otherwise linked to credit, rates, equities, commodities, currencies, emission allowances or other marketable assets capable of economic assessment, with maturities and notional that can be longer and/or higher, respectively, than the Maturity Date and aggregate principal amount of the relevant Notes.

Replicating Derivatives refers to any derivative contract designed to hedge the exposure arising from the Asset Instruments, and having as underlying the relevant Asset Instrument itself or any of its underlyings. For example: commodity certificate + future ("cash and carry arbitrage"), or convertible bond + CDS + equity option ("convertible arbitrage").