Banca Popolare di Sondrio S p A : Pillar III report at 30 June 2025

PILLAR 3 REPORT PUBLIC DISCLOSURES AS AT 30.06.2025

Date of publication: 30/09/2025

This document is an English translation of the original Italian document "Terzo Pilastro Informativa al pubblico al 30/06/2025 - Gruppo Banca Popolare di Sondrio", prepared only for the convenience of the international readers. In the case of discrepancies between the Italian version and the English translation, the Italian document shall prevail.

Banca Popolare di Sondrio Società per azioni

Head Office and General Management:

piazza Garibaldi n.16 - 23100 Sondrio (SO) Tel. [phone] - Fax [phone]

Website: https://www.popso.it - Company website: https://istituzionale.popso.it

E-mail [e-mail] - Certified e-mail (PEC) [e-mail]

Sondrio Companies Register No. 00053810149 Official List of Banks under No. 842

Company belonging to the BPER Banca S.p.A. Banking Group - Registered with the Official List of Banks under No. 5387.6 Company subject to management and coordination by BPER Banca S.p.A.

Member of the Interbank Deposit Guarantee Fund Tax code and VAT number: 00053810149

Share capital: € 1,360,157,331; Reserves: € 1,740,955,502 (Figures approved at the Shareholders' meeting of 30 April 2025)

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CONTENTS

Introduction 10

Summary of information published in accordance with CRR requirements 13 Section 1 Scope of application 16 Section 2 Information on the overall risk management framework, key prudential metrics and RWAs 17 Section 3 Disclosure of own funds and eligible liabilities 27 Section 4 Disclosure of countercyclical capital buffers 42 Section 5 Disclosure of the leverage ratio 46 Section 6 Disclosure of liquidity requirements 51 Section 7 Disclosure of credit risk quality 65 Section 8 Disclosure of the use of credit risk mitigation techniques 75 Section 9 Disclosure of the use of the standardised approach to credit risk 76 Section 10 Disclosure of the use of the IRB approach to credit risk 84 Section 11 Disclosure of exposures to counterparty risk 107 Section 12 Disclosure of exposures to securitisation positions 115 Section 13 Disclosure of the use of the standardised approach to market risk 129 Section 14 Disclosure of exposures to interest rate risk on positions not held in the trading book 130

Section 15 Disclosure of environmental, social and governance risks (ESG risks) 132

Certification of the Manager responsible for preparing the Company's accounting documents 226 Certification on disclosure policies and obligations pursuant to Part Eight, Art. 431, paragraph 3 of European Regulation No. 575/2013 of 26 June 2013 and subsequent amendments and additions 227 Annexes 228 Glossary 229

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Index of TABLES

Table 1 - Template EU KM1 - Key metrics template (1 of 2) 17 Table 2 - Template EU KM1 - Key metrics template (2 of 2) 19 Table 3 - Template EU OV1: Overview of total risk exposure amounts 23 Table 4 - Template EU CMS1 - Comparison of modelled and standardised risk weighted exposure amounts at risk level 24 Table 5 - Template EU CMS2 - Comparison of modelled and standardised risk weighted exposure amounts for credit risk at asset class level 25 Table 6 - Template EU CC1 - Composition of regulatory own funds (1 of 7) 30 Table 7 - Template EU CC1 - Composition of regulatory own funds (2 of 7) 31 Table 8 - Template EU CC1 - Composition of regulatory own funds (3 of 7) 32 Table 9 - Template EU CC1 - Composition of regulatory own funds (4 of 7) 33 Table 10 - Template EU CC1 - Composition of regulatory own funds (5 of 7) 35 Table 11 - Template EU CC1 - Composition of regulatory own funds (6 of 7) 37 Table 12 - Template EU CC1 - Composition of regulatory own funds (7 of 7) 38 Table 13 - Template EU CC2: Reconciliation of regulatory own funds to balance

sheet in the audited financial statements 39

Table 14 - Template EU KM2 Key Metrics - MREL and, where applicable,

requirement for own funds and eligible liabilities for G-SIIs 41

Table 15 - Template EU CCyB1 - Geographical distribution of credit exposures

relevant for the calculation of the countercyclical buffer (1 of 2) 43

Table 16 - Template EU CCyB1 - Geographical distribution of credit exposures

relevant for the calculation of the countercyclical buffer (2 di 2) 44

Table 17 - Template EU CCyB2 - Amount of institution-specific countercyclical

capital buffer 45

Table 18 - Template EU LR1 - LRSum: Summary reconciliation of accounting

assets and leverage ratio exposures 47

Table 19 - Template EU LR2 - LRCom: Leverage ratio common disclosure (1 of 2) 48 Table 20 - Template EU LR2 - LRCom: Leverage ratio common disclosure (2 of 2) 49

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Table 21 - Template EU LR3 - LRSpl: Split-up of on balance sheet exposures (excluding derivatives, SFTs and exempted exposures) 50 Table 22 - Template EU LIQ1 - Quantitative information of LCR (1 of 2) 52 Table 23 - Template EU LIQ1 - Quantitative information of LCR (2 of 2) 53 Table 24 - Template EU LIQ2: Net Stable Funding Ratio (1 of 2) - 30/06/2025 56 Table 25 - Template EU LIQ2: Net Stable Funding Ratio (2 of 2) - 30/06/2025 57 Table 26 - Template EU LIQ2: Net Stable Funding Ratio (1 of 2) - 31/03/2025 59 Table 27 - Template EU LIQ2: Net Stable Funding Ratio (2 of 2) - 31/03/2025 59 Table 28 - Template EU LIQ2: Net Stable Funding Ratio (1 of 2) - 31/12/2024 61 Table 29 - Template EU LIQ2: Net Stable Funding Ratio (2 of 2) - 31/12/2024 61 Table 30 - Template EU LIQ2: Net Stable Funding Ratio (1 of 2) - 30/09/2024 63 Table 31 - Template EU LIQ2: Net Stable Funding Ratio (1 of 2) - 30/09/2024 63 Table 32 - Template EU CR1: Performing and non-performing exposures

and related provisions (1 of 3) 65

Table 33 - Template EU CR1: Performing and non-performing exposures

and related provisions (2 of 3) 66

Table 34 - Template EU CR1: Performing and non-performing exposures

and related provisions (3 of 3) 67

Table 35 - Template EU CR1-A: Maturity of exposures 68 Table 36 - Template EU CR2: Changes in the stock of non-performing loans

and advances 68

Table 37 - Template EU CQ1: Credit quality of forborne exposures (1 of 2) 69 Table 38 - Template EU CQ1: Credit quality of forborne exposures (2 of 2) 70 Table 39 - Template EU CQ4: Quality of non-performing exposures by geography

(1 of 2) 71

Table 40 - Template EU CQ4: Quality of non-performing exposures by geography

(2 of 2) 72

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Table 41 - Template EU CQ5: Credit quality of loans and advances to non-financial corporations by industry 73 Tabella 42 - Template EU CQ7: Collateral obtained by taking possession

and execution processes 74

Table 43 - Template EU CR3 - CRM techniques overview: Disclosure of the use

of credit risk mitigation techniques 75

Table 44 - Template EU CR4 - standardised approach - Credit risk exposure

and CRM effects 76

Table 45 - Template EU CR5: Standardised approach (1 of 3) 79 Table 46 - Template EU CR5: Standardised approach (2 of 3) 81 Table 47 - Template EU CR5: Standardised approach (3 of 3) 83 Table 48 - Template EU CR6 - IRB approach - Credit risk exposures

by exposure class and PD range - Total AIRB 86

Table 49 - Template EU CR6 - IRB approach - Credit risk exposures

by exposure class and PD range - Tota FIRB 88

Table 50 - Template EU CR6 - IRB approach - Credit risk exposures

by exposure class and PD range - Corporates - Other AIRB 91

Table 51 - Template EU CR6 - IRB approach - Credit risk exposures

by exposure class and PD range - Corporates - Other FIRB 92

Table 52 - Template EU CR6 - IRB Approach: Credit risk exposures

by exposure class and PD range - Retail - Secured by real estate AIRB 94

Table 53 - Template EU CR6 - IRB Approach: Credit risk exposures

by exposure class and PD range - Retail - Qualifying revolving AIRB 96

Table 54 - Template EU CR6 - IRB Approach: Credit risk exposures

by exposure class and PD range - Retail - Other AIRB 98

Table 55 - Template EU CR7 - IRB approach - Effect on the RWEAs of credit

derivatives used as CRM techniques 100

Table 56 - Template EU CR7-A - IRB approach - Disclosure of the extent

of the use of CRM techniques (1 of 2) 102

Table 57 - Template EU CR7-A - IRB approach - Disclosure of the extent

of the use of CRM techniques (2 of 2) 105

Table 58 - Template EU CR8 - RWEA flow statements of credit risk

exposures under the IRB approach 106

Table 59 - Template EU CCR1 - Analysis of CCR exposure by approach (1 of 2) 108

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Table 60 - Template EU CCR1 - Analysis of CCR exposure by approach (2 of 2) 109 Table 61 - Template EU CCR3 - Standardised approach - CCR exposures

by regulatory exposure class and risk weights 110

Table 62 - Template EU CCR4 - IRB approach - CCR exposures

by exposure class and PD scale - Corporate - FIRB 111

Table 63 - Template EU CCR4 - IRB approach - CCR exposures

by exposure class and PD scale - Corporate - AIRB 111

Table 64 - Template EU CCR4 - IRB approach - CCR exposures

by exposure class and PD scale - Retail - AIRB 112

Table 65 - Template EU CCR5 - Composition of collateral for CCR exposures

(1 of 2) 112

Table 66 - Template EU CCR5 - Composition of collateral for CCR exposures

(2 of 2) 113

Table 67 - Template EU CCR8: Exposures to CCPs 114 Table 68 - Template EU-SEC1 - Securitisation exposures in the non-trading book

(1 of 3) 121

Table 69 - Template EU-SEC1 - Securitisation exposures in the non-trading book

(2 of 3) 121

Table 70 - Template EU-SEC1 - Securitisation exposures in the non-trading book

(3 of 3) 122

Table 71 - Template EU-SEC3 - Securitisation exposures in the non-trading book and associated regulatory capital requirements - institution acting as originator

or as sponsor (1 of 3) 123

Table 72 - Template EU-SEC3 - Securitisation exposures in the non-trading book and associated regulatory capital requirements - institution acting as originator

or as sponsor (2 of 3) 123

Table 73 - Template EU-SEC3 - Securitisation exposures in the non-trading book and associated regulatory capital requirements - institution acting as originator

or as sponsor (3 of 3) 124

Table 74 - Template EU-SEC4 - Securitisation exposures in the non-trading book and associated regulatory capital requirements - institution acting as investor

(1 of 3) 125

Table 75 - Template EU-SEC4 - Securitisation exposures in the non-trading book and associated regulatory capital requirements - institution acting as investor

(2 of 3) 126

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Table 76 - Template EU-SEC4 - Securitisation exposures in the non-trading book and associated regulatory capital requirements - institution acting as investor

(3 of 3) 127

Table 77 - Template EU-SEC5 - Exposures securitised by the institution -

Exposures in default and specific credit risk adjustments 128

Table 78 - Template EU MR1 - Market risk under the standardised approach 129 Table 79 - Template EU IRRBB1 - Interest rate risks of non-trading book activities 131 Table 80 - Template 1: Banking book - Indicators of potential transition risk related to climate change: Credit quality of exposures by sector, issuance and residual

maturity (1 of 3) 188

Table 81 - Template 1: Banking book - Indicators of potential transition risk related to climate change: Credit quality of exposures by sector, issuance and residual

maturity (2 of 3) 190

Table 82 - Template 1: Banking book - Indicators of potential transition risk related to climate change: Credit quality of exposures by sector, issuance and residual

maturity (3 of 3) 192

Table 83 - Template 2: Banking book - Indicators of potential climate change-

related transition risk: Loans secured by real estate - Energy efficiency of collateral 197

Table 84 - Template 3: Banking book - Indicators of potential transition risk related

to climate change: alignment metrics 198

Table 85 - Template 4: Banking book - Indicators of potential climate change-

related transition risk: Exposures to the top 20 carbon-intensive companies 200

Table 86 - Template 5: Banking book - Indicators of potential physical risk related

to climate change: Exposures subject to physical risk - All countries 202

Table 87 - Template 5: Banking book - Indicators of potential physical risk related

to climate change: Exposures subject to physical risk - Italy 204

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Table 88 - Template 5: Banking book - Indicators of potential physical risk related

to climate change: Exposures subject to physical risk - Rest of the world 206

Table 89 - Template 6: Summary of key performance indicators (KPIs) on

Taxonomy-aligned exposures 213

Table 90 - Template 7: Mitigation actions: assets for GAR calculation (1 of 3) 214 Table 91 - Template 7: Mitigation actions: assets for GAR calculation (2 of 3) 216 Table 92 - Template 7: Mitigation actions: assets for GAR calculation (3 of 3) 218 Table 93 - Template 8: GAR (%) (1 of 2) 221 Table 94 - Template 8: GAR (%) (2 of 2) 222 Table 95 - Template 10: Other climate change-related mitigation actions not

covered by Regulation (EU) 2020/852 224

‌10 INTRODUCTION

Introduction

The "Basel III" regulatory framework transposed into the European Union regulatory system has been in force since 1 January 2014:

• Regulation (EU) No. 575/2013 (Capital Requirements Regulation, known as "CRR") of the European Parliament and Council of 26 June 2013 governing the prudential requirements for credit institutions and investment firms ("Pillar 1" provisions) and the rules on public disclosures by institutions ("Pillar 3" provisions);

• Directive 2013/36/EU (Capital Requirements Directive, known as "CRD IV") of the European Parliament and Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms.

The prudential regime applicable to financial institutions is based on three "Pillars".

"Pillar 1" (Minimum prudential requirements) imposes specific capital requirements to all supervised entities designed to cope with the typical banking and finance risks, providing for alternative calculation methods, characterised by different levels of complexity.

"Pillar 2" (Prudential Control Process) requires banks to adopt internal strategies and processes for the current and prospective control of capital adequacy (ICAAP -Internal Capital Adequacy Assessment Process) and the adequacy of the liquidity situation (ILAAP - Internal Liquidity Adequacy Assessment Process). The Supervisory Authority, as part of the Supervisory Review Evaluation Process (SREP), is responsible for verifying the reliability and consistency of the results of these processes and for adopting appropriate corrective measures, where the situation requires.

Finally, the "Pillar 3" (Market Discipline) regulations establish specific disclosure requirements for the general public, aimed at allowing market participants and other stakeholders a more accurate assessment of the capital strength and risk exposure of banking institutions, as well as of their management and control systems.

On 7 June 2019, with the publication in the Official Journal of the European Union, a package of reforms was enacted that introduced significant changes to the Union's regulatory framework, including the so-called "CRR II" Regulation (EU Regulation No. 2019/876) and the so-called "CRD V" Directive (EU Directive 2019/878).

On 19 June 2024, Regulation (EU) 2024/1623 was published in the Official Journal of the European Union ("CRR III"), amending Regulation (EU) No. 575/2013 as regards the requirements for credit risk, credit valuation adjustment risk, operational risk, market risk and output floor. The act transposed into the European legislative framework the set of further reforms and updates to the Basel III agreements universally known as "Basel IV". The most relevant elements of the new framework of prudential supervisory rules came into force on 1 January 2025.

PILLAR 3 Reporting date 30.06.2025