FOURTH SUPPLEMENT DATED 28 MAY, 2018 TO THE PROSPECTUS DATED 7 SEPTEMBER, 2017

BANCO BPM S.P.A. (incorporated as a joint stock company (società per azioni) in the Republic of Italy) €10,000,000,000 Covered Bond Programme unconditionally and irrevocably guaranteed as to payments of interest and principal by

BPM Covered Bond 2 S.r.l. (incorporated as a limited liability company in the Republic of Italy) This fourth supplement (the "Fourth Supplement") to the base prospectus dated 7 September 2017 (the "Prospectus"), as supplemented by the first supplement dated 16 November 2017 (the "First Supplement"), the second supplement dated 8 January 2018 (the "Second Supplement") and the third supplement dated 14 February 2018 (the "Third Supplement"), constitutes a supplement for the purposes of Article 13.1 of Chapter 1 of Part II of the Luxembourg Act dated 10 July, 2005 on prospectuses for securities as amended (the "Prospectus Act") and is prepared in connection with the Euro 10,000,000,000 Covered Bond Programme (the "Programme") established by Banco BPM S.p.A. ("Banco BPM" or the "Bank" or the "Issuer") and guaranteed by BPM Covered Bond 2 S.r.l. Capitalised terms used in this Fourth Supplement, and not otherwise defined herein, shall have the same meaning ascribed to them in the Prospectus. This Fourth Supplement constitutes a supplement to, and should be read in conjunction with, the Prospectus. The Issuer accepts responsibility for the information contained in this Fourth Supplement. To the best of the knowledge of the Issuer (which has taken all reasonable care to ensure that such is the case) the information contained in this Fourth Supplement is in accordance with the facts and contains no omissions likely to affect its import. Copies of this Fourth Supplement and the documents incorporated by reference in the Fourth Supplement can be obtained from the registered office of the Issuer and are available on the Luxembourg Stock Exchange website (www.bourse.lu). The above documents will also be available on the Issuer's website (www.bancobpm.it).

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Purpose of this Fourth Supplement The purpose of this Fourth Supplement is to update the information contained in the Prospectus in order to reflect certain recent relevant events and information relating to Banco BPM. In particular, this Fourth Supplement: (1) updates certain information contained under section "Risk Factors" of the Prospectus; (2) updates certain information contained under section "Business Description of Banco BPM Società per Azioni" of the Prospectus; (3) incorporates by reference in the Prospectus certain press releases issued in connection with some recent information relating to Banco BPM; and (4) updates the Common Criteria of the Sellers under section "Description of the Cover Pool" of the Prospectus.

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1. RISK FACTORS (i) On page 32 of the Prospectus, under the paragraph headed "Risks related to forthcoming regulatory changes", the following new paragraph is added as third sub-paragraph:

"In February 2018, the Basel Committee issued for consultation the updated framework of Pillar 3 requirements, which contains new or revised regulatory disclosure requirements. Such disclosure: (i) covers credit risk, operational risk, leverage ratio and credit valuation adjustment (CVA); (ii) benchmark a bank's risk- weighted assets (RWA) as calculated by its internal models with RWA calculated according to the standardised approaches; and (iii) provide an overview of risk management, key prudential metrics and RWA."

(ii) On page 30 of the Prospectus, under the paragraph headed "The Bank Recovery and Resolution Directive is intended to enable a range of actions to be taken in relation to credit institutions and investment firms considered to be at risk of failing. The implementation of the directive or the taking of any action under it could materially affect the value of any Covered Bond", before the sub-paragraph starting with "Also, Article 108 of the BRRD", the following new paragraph is added:

"In the context of the EU Banking Reform, as for the amendments to the BRRD, the proposal of the European Commission resulted in the adoption of Directive (EU) 2017/2399 of 12 December 2017 amending the BRRD with regard to the ranking of unsecured debt instruments in insolvency hierarchy which was published in the Official Journal of the European Union on 27 December 2017 and must be transposed into national law by the Member States by 29 December 2018. In this regard, the Italian Law n. 205/2017, approved by the Italian Parliament on 27 December 2017, contains the implementing provisions pertaining to "non-preferred" senior debt instruments."

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2. BUSINESS DESCRIPTION OF BANCO BPM SOCIETÀ PER AZIONI (i) On page 189 of the Prospectus, the table under the paragraph headed "Principal Shareholders" is deleted and replaced by the following table:

% of the Ordinary Shareholder Share Capital

Invesco LTD 4.97

Capital Research and Management Company 5.15

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3. DOCUMENTS INCORPORATED BY REFERENCE The information set out below updates the section of the Prospectus headed "Documents incorporated by reference" appearing on pages 82 et seq.. (i) Banco BPM: The European Central Bank authorized Gruppo Banco BPM to use advanced internal rating models (AIRB) to measure consolidated capital requirements for credit risk with rollout onto BPM S.p.A. On 19 February 2018, Banco BPM issued a press release (the "19 February 2018 Press Release") announcing that, following what reported in the news release published on 7 February 2018, Banco BPM on 16 February had received the European Central Bank’s authorization to adopt our internal risk management systems (AIRB models) to measure the consolidated capital requirements for credit risk, together with their rollout onto BPM S.p.A. The 19 February 2018 Press Release, which has been published and filed with the CSSF, is incorporated by reference in its entirety into this Fourth Supplement and shall, by virtue of this Fourth Supplement, be deemed to be incorporated by reference in, and form part of, the Prospectus. (ii) Banco BPM: Approved equity compensation plan based on Banco BPM S.p.A. shares for executive members of the Board of Directors and employees and non- employed staff of Gruppo Banco BPM; Approval of the share buy-back and disposal proposal On 27 February 2018, Banco BPM issued a press release (the "27 February 2018 Press Release") announcing that the Board of Directors had approved the main outlines of a Banco BPM share-based compensation plan (Plan), pursuant to articles 114-bis of Lgs.D. no. 58/98 (TUF) and 84-bis of Regulation no. 11971/1999 and following amendments and additions (Issuers Regulation), to be submitted to the approval of the forthcoming Annual General Meeting to be held on 7 April 2018. Under the plan, a part of the variable compensation component under the 2018 annual incentive scheme for executive members of the Board of Directors and employees and non-employed staff of the Banco BPM banking group, falling under the key personnel category, is paid through a stock grant in Banco BPM ordinary shares. The 27 February 2018 Press Release, which has been published and filed with the CSSF, is incorporated by reference in its entirety into this Fourth Supplement and shall, by virtue of this Fourth Supplement, be deemed to be incorporated by reference in, and form part of, the Prospectus. (iii) Banco BPM: Launched Project to Merge Banca Popolare di Milano S.p.A. into the Parent Company Banco BPM On 27 March 2018, Banco BPM issued a press release (the "27 March 2018 Press Release") announcing that the Boards of Directors of Banco BPM and Banca Popolare di Milano ("BPM") had approved the merger plan of BPM into Banco BPM. The deal is part of the actions aimed at streamlining the corporate and operational structure under the 2016/2019 Strategic Plan of Banco BPM Group and is the logical

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follow-on to the activities implemented along the integration process between the two former Groups of and BPM. The 27 March 2018 Press Release, which has been published and filed with the CSSF, is incorporated by reference in its entirety into this Fourth Supplement and shall, by virtue of this Fourth Supplement, be deemed to be incorporated by reference in, and form part of, the Prospectus. (iv) Banco BPM: Closed the deal between Banco BPM and On 29 March 2018, Banco BPM issued a press release (the "29 March 2018 Press Release"), further to the news releases published on 28 September 2017 and 14 November 2017, evidencing that Banco BPM SpA has finalized:  the purchase from Italia Holding S.p.A. of 50% + 1 share of Avipop Assicurazioni S.p.A., at a price of 267.9 million euro (the amount includes the 2017 and 2018 share of profit paid out to Aviva Italia Holding);  the purchase from UnipolSai Assicurazioni of 50% + 1 share of Popolare Vita S.p.A., at a price of 535.5 million euro. Upon completion of the above transactions, whereby Banco BPM had acquired 100% of the share capital of Avipop Assicurazioni and Popolare Vita (the " Companies"), we hereby announce also that, further to the releases published on 3 and 9 November 2017, Banco BPM and Cattolica Assicurazioni had finalized the sale to the latter of 65% of the share capital of the Insurance Companies and the start of a 15-year P&C and life insurance business partnership. The 29 March 2018 Press Release, which has been published and filed with the CSSF, is incorporated by reference in its entirety into this Fourth Supplement and shall, by virtue of this Fourth Supplement, be deemed to be incorporated by reference in, and form part of, the Prospectus. (v) Banco BPM: Ordinary and Extraordinary Shareholders meeting of Banco BPM S.p.A. On 7 April 2018, Banco BPM issued a press release (the "7 April 2018 Press Release"), announcing that the Ordinary and Extraordinary Shareholders meeting of Banco BPM S.p.A., with an attendance of over 5,200 Shareholders (approx. 900 attending in person), accounting for around 40% of the share capital, had approved by a very large majority all the items on the agenda, in particular:  approval of the financial statements as at 31 December 2017 of Banco BPM S.p.A.;  approval of supplementary fees to the audit firm PricewaterhouseCoopers S.p.A.;  approval of compensation policies and of Banco BPM S.p.A. share-based compensation plan for the annual incentive scheme devoted to all the Group employees;  approval of application for authorization to purchase and sell own shares to implement the share-based compensation plans of Banco BPM S.p.A.;  approval of the amendments to certain articles of the By-Laws (statuto).

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The 7 April 2018 Press Release, which has been published and filed with the CSSF, is incorporated by reference in its entirety into this Fourth Supplement and shall, by virtue of this Fourth Supplement, be deemed to be incorporated by reference in, and form part of, the Prospectus. In order to better evaluate Banco BPM financial information provided under the 7 April 2018 Press Release, the management has identified several Alternative Performance Measures ("APM"). Management believes that these APMs provide useful information for investors as regards the financial position, cash flows and financial performance of the same, because they facilitate the identification of significant operating trends and financial parameters. The 7 April 2018 Press Release contains the following alternative performance measures as defined by the European Securities and Markets Authority’s Guidelines on Alternative Performance Measures (ESMA/2015/1415), which are used by the management of the Issuer to monitor our financial and operating performance: - "Core Total Income" is calculated as the sum of "net interest income" and "net fees and commissions". - “Adjusted operating costs” is calculated as the operating costs, net of non-recurring items; - “Adjusted net income” is calculated as the net income, net of non-recurring items; - “Adjusted profit from operation” is calculated as profit from operation, net of non- recurring items. It should be noted that: (i) the APMs are based exclusively on the Banco BPM data and are not indicative of the future performance;

(ii) the APMs are not derived from IFRS and, as they are derived from the financial information of Banco BPM taken from the Banco BPM 2017 Audited Consolidated Financial Statement prepared in conformity with these principles, they are not subject to audit;

(iii) the APMs are non-IFRS financial measures and are not recognised as measure of performance or liquidity under IFRS and should not be recognised as alternative to performance measure derived in accordance with IFRS or any other generally accepted accounting principles;

(iv) the APMs should be read together with financial information for Banco BPM taken from the Banco BPM 2017 Audited Consolidated Financial Statement. Since all companies do not calculate APMs in an identical manner, the presentation of Banco BPM may not be consistent with similar measures used by other companies. Therefore, undue reliance should not be placed on these data. (vi) Banco BPM 2017 Audited Consolidated Financial Statement On 7 April 2018 the Ordinary Shareholders’ meeting of Banco BPM S.p.A. approved the Banco BPM 2017 Audited Consolidated Financial Statement.

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The Banco BPM 2017 Audited Consolidated Financial Statement, together with an English translation thereof, which have been published and filed with the CSSF, are incorporated by reference into this Fourth Supplement as set out in the following table and shall, by virtue of this Fourth Supplement, be deemed to be incorporated by reference in, and form part of, the Prospectus.

Document Information Incorporated Page Reference

Banco BPM S.p.A. Financial Statements: Audited Independent auditors’ report on the 137-149 Consolidated consolidated financial statements Financial Statement as at and for the 12 Consolidated Balance sheet 153 months ended 31 Consolidated Income statement 154 December 2017 Consolidated Statement of comprehensive 155 income

Consolidated Statement of changes in shareholders’ equity 156 – 157 Consolidated Cashflow statement 158-159 Notes to the Consolidated Financial 161-451 Statements

Any other information not listed above but contained in the "Banco BPM S.p.A. Audited Consolidated Financial Statement as at and for the 12 months ended 31 December 2017" (the "Financial Statements") is not incorporated by reference and is either not relevant for the investor or is covered elsewhere in the Prospectus. The Financial Statements are audited by PricewaterhouseCoopers S.p.A. The Issuer, being the person responsible for the financial information included in the Financial Statements, has approved such financial information. The financial information included in the Financial Statements published by the Issuer on 7 April 2018 on its website (at https://www.bancobpm.it/investor- relations/financials/?lang=en) refers to a 12-month period ended on 31 December 2017- and therefore there are no assumptions or factors which the members of the administrative, management or supervisory bodies can influence. (vii) Banco BPM Results as at 31 March 2018 On 9 May 2018 the Board of Directors approved the consolidated quarterly balance sheet and operating report as at 31 March 2018 of Gruppo Banco BPM. The Gruppo Banco BPM results as at 31 March 2018, together with an English translation thereof, which have been published and filed with the CSSF, are incorporated by reference into this Fourth Supplement as set out in the following table

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and shall, by virtue of this Fourth Supplement, be deemed to be incorporated by reference in, and form part of, the Prospectus.

Document Information Incorporated Page Reference

Gruppo Banco BPM Financial highlights 2 – 4 Results as at 31 March 2018

Operating performance 4 – 6

Key balance sheet items 6 - 7

Group Capital Rations 7 – 8

Operational outlook 9

Explanatory Notes 9 - 21

Reclassified Consolidated Balance Sheet 22 – 23

Reclassified Consolidated Income 24 - 25 Statement (viii) Banco BPM: assessment of independence requirements of Directors and Statutory Auditors On 9 May 2018, Banco BPM issued a press release (the "9 May 2018 Press Release") announcing that the Board of Directors of Banco BPM S.p.A. has assessed the independence of all its members, pursuant to art. 20.1.6. of the Corporate By-laws – which incorporates the provisions under art. 148, paragraph 3, of Lgs.D. no. 58/98 (TUF) and the recommendations set forth in the Corporate Governance Code of Borsa Italiana. In compliance with art. 44.1 of the Corporate By-laws, at least 9 (nine) members of the Board of Directors of Banco BPM fulfill the independence requirements defined under art. 20.1.6. of the Corporate By-laws. The 9 May 2018 Press Release, which has been published and filed with the CSSF, is incorporated by reference in its entirety into this Fourth Supplement and shall, by virtue of this Fourth Supplement, be deemed to be incorporated by reference in, and form part of, the Prospectus.

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4. DESCRIPTION OF THE COVER POOL (i) On page 283 of the Prospectus, under the paragraph headed "Eligibility Criteria", the Common Criteria of Banca Popolare di Milano S.p.A. listed after sub-paragraph starting with "The Receivables transferred and to be transferred from time to time from BPM to the Guarantor", are replaced by the following: "Receivables arising from Mortgage Loans which, as at the Valuation Date, meet the following criteria:

1. are residential mortgage receivables in respect of which the ratio between the (i) outstanding principal amount and (ii) the estimated value of the mortgaged property is equal to or lower than 80 per cent.;

2. which are granted in compliance with the requirements of the Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms;

3. did not provide at the time of disbursement for any subsidy or other benefit in relation to principal or interest (mutui agevolati);

4. that have not been granted to public entities (enti pubblici), clerical entities (enti ecclesiastici) or public consortium (consorzi pubblici);

5. that are not consumer loans (crediti al consumo);

6. that are not "mutui agrari" pursuant to Articles 43, 44 and 45 of the Consolidated Banking Act;

7. that are secured by a mortgage created over real estate assets in accordance with applicable laws and regulations and are located in the Republic of Italy;

8. the payment of which is secured by a first ranking mortgage (ipoteca di primo grado economico), such term meaning (i) a first ranking mortgage or (ii) (A) a second or subsequent ranking priority mortgage in respect of which the lender secured by the first ranking priority mortgage is BPM and with respect to which the obligations secured by the mortgage(s) ranking prior to such second or subsequent mortgage have been fully satisfied, or (B) a second or subsequent ranking priority mortgage in respect of which the obligations secured by the mortgage(s) ranking prior to such second or subsequent mortgage have been fully satisfied and the relevant lender has formally consented to the cancellation of the mortgage(s) ranking prior to such subsequent mortgage;

9. in respect of which the hardening period (periodo di consolidamento) applicable to the relevant mortgage has expired and the relevant mortgage is not capable of being challenged pursuant to Article 67 of the Bankruptcy Law and, if applicable, of Art. 39, fourth paragraph of the Consolidated Banking Act;

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10. that are fully disbursed and in relation to which there is no obligation or possibility to make additional disbursements;

11. for which at least an instalment inclusive of principal has been paid (i.e. Mortgage Loans that are not in the pre-amortising phase);

12. do not have any Instalment due and unpaid;

13. that are governed by Italian law;

14. that have not been granted to individuals that as of the origination date were employees of Banco BPM Group (including also loans granted to two or more individuals, one of which was an employee or a manager of Banco BPM Group as of the valuation date);

15. that are denominated in Euro (or disbursed in a different currency and then re-denominated in Euro);

16. in respect of which none of the relevant borrowers or obligors has been served by BPM with a writ of enforcement (precetto) or an injunction order (decreto ingiuntivo) or entered into an out-of-court settlement following a non payment;

17. that are not classified as a non performing loan ("sofferenze") pursuant to Bank of Italy Regulation No 272 of 30 July 2008 and article 178 of Regulation (EU) No 575/2013;

18. which are mortgage loans whose relevant borrower falls in the category SAE 600 (famiglie consumatrici)."

(ii) On page 282 of the Prospectus, under the paragraph headed "Eligibility Criteria of Banco BPM S.p.A." (as introduced by the First Supplement dated 16 November 2017), the Common Criteria of Banco BPM S.p.A. listed under sub-paragraph starting with "Banco BPM S.p.A. Common Criteria", are replaced by the followings:

"Receivables arising from Mortgage Loans which, as at the Valuation Date, meet the following criteria: 1. are residential mortgage receivables in respect of which the ratio between the (i) outstanding principal amount and (ii) the estimated value of the mortgaged property is equal to or lower than 80 per cent.; 2. which are granted in compliance with the requirements of the Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms;

3. did not provide at the time of disbursement for any subsidy or other benefit in relation to principal or interest (mutui agevolati);

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4. that have not been granted to public entities (enti pubblici), clerical entities (enti ecclesiastici) or public consortium (consorzi pubblici); 5. that are not consumer loans (crediti al consumo); 6. that are not "mutui agrari" pursuant to Articles 43, 44 and 45 of the Consolidated Banking Act; 7. that are secured by a mortgage created over real estate assets in accordance with applicable laws and regulations and are located in the Republic of Italy; 8. the payment of which is secured by a first ranking mortgage (ipoteca di primo grado economico), such term meaning (i) a first ranking mortgage or (ii) (A) a second or subsequent ranking priority mortgage in respect of which the lender secured by the first ranking priority mortgage is Banco BPM and with respect to which the obligations secured by the mortgage(s) ranking prior to such second or subsequent mortgage have been fully satisfied, or (B) a second or subsequent ranking priority mortgage in respect of which the obligations secured by the mortgage(s) ranking prior to such second or subsequent mortgage have been fully satisfied and the relevant lender has formally consented to the cancellation of the mortgage(s) ranking prior to such subsequent mortgage; 9. in respect of which the hardening period (periodo di consolidamento) applicable to the relevant mortgage has expired and the relevant mortgage is not capable of being challenged pursuant to Article 67 of the Bankruptcy Law and, if applicable, of Art. 39, fourth paragraph of the Consolidated Banking Act; 10. that are fully disbursed and in relation to which there is no obligation or possibility to make additional disbursements; 11. for which at least an instalment inclusive of principal has been paid (i.e. Mortgage Loans that are not in the pre-amortising phase); 12. do not have any Instalment due and unpaid; 13. that are governed by Italian law; 14. that have not been granted to individuals that as of the origination date were employees of Banco BPM Group (including also loans granted to two or more individuals, one of which was an employee or a manager of Banco BPM Group as of the Valuation Date); 15. that are denominated in Euro (or disbursed in a different currency and then re-denominated in Euro); 16. in respect of which none of the relevant borrowers or obligors has been served by Banco BPM with a writ of enforcement (precetto) or an injunction order (decreto ingiuntivo) or entered into an out-of-court settlement following a non payment;

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17. that are not classified as a non performing loan ("sofferenze") pursuant to Bank of Italy Regulation No 272 of 30 July 2008 and article 178 of Regulation (EU) No 575/2013;

18. which are mortgage loans whose relevant borrower falls in the category SAE 600 (famiglie consumatrici)."

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* * * * The language of this Fourth Supplement is English. Certain legislative references and technical terms have been cited in their original language in order that the correct technical meaning may be ascribed to them. To the extent that there is any inconsistency between (a) any statement in this Fourth Supplement or any statement incorporated by reference into the Prospectus by this Fourth Supplement and (b) any other statement in or incorporated by reference in the Prospectus, the statements in (a) above will prevail. Save as disclosed in this Fourth Supplement, there has been no other significant new factor, material mistake or inaccuracy relating to information included in the Prospectus since the publication of the Prospectus.

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