Warning notice no. 5/22 of 13 October 2022

Re: Warning about the highly-dilutive rights issue of Banca MPS S.p.A. - Application of the rolling model

In the next days the rights issue by Banca MPS S.p.A. will begin. Banca MPS S.p.A. shares are traded on the Italian regulated market Euronext Milan, organised and managed by Borsa Italiana S.p.A. ("Borsa Italiana").

This rights issue has a significant dilutive effect. This in turn implies the risk of a high volatility in the shares' price during the subscription period, including a potential overvaluation of the shares' market price compared to their theorical value.

In order to minimize this risk, the above-mentioned rights issue will be managed according to the so-called rolling model, as highlighted by Borsa Italiana with specific Market Notice.

The rolling model has been extensively described in Consob Communication no. 88305 of 5 October 2016, in the document "Esiti delle Consultazioni" of 28 April 2016 and in the technical rules issued by Borsa Italiana and Monte Titoli S.p.A. ("Monte Titoli"). The model, in short, provides for the "early" exercise of the subscription rights in each day of the capital increase starting from the third day; the newly issued shares stemming from such exercise will be delivered "earlier".

The "early" exercise has to be made in accordance with the procedures and within the time limits laid down in the Instructions for the CSD Service of Monte Titoli and with the contractual conditions agreed, case by case, with one's intermediary.

The "early" delivery of the new shares is aimed at allowing arbitrage activity between subscription rights and shares starting from the first day of the rights issue; in turn, the arbitrage activity should minimize the risk that the above-mentioned price volatility shows up.

It is worth highlighting that the "early" delivery of the new shares can cause investors to lose their right to withdraw their subscriptions of the new shares, provided for in Article 23, paragraph 2, of Regulation (EU) no. 2017/1129.

In particular, where, during the capital increase, a significant new factor, material mistake or material inaccuracy arises and leads to the publication of a supplement to the Prospectus, the right to withdraw the subscription shall not be granted to investors who have benefitted from the "early" delivery of the new shares, if this "early" delivery has taken place before the event which leads to the publication of the supplement.

Investors who wish to subscribe the rights issue without facing the risk of losing the abovementioned right to withdraw their subscriptions should subscribe the capital increase according to the standard model (i.e. not the rolling one).

Besides, investors who will not opt for the "early" delivery of the new shares will receive the new shares in one solution, at the end of the capital increase. The usual delivery of the new shares at the end of the option period will not take place.

This peculiarity should be taken into account by investors who wish to carry out arbitrate activity between subscription rights and shares in the last days of the option period, for the sake of ensuring compliance with the prohibition to carry out uncovered short sales (also called naked short sales) pursuant to Article 12 of Regulation (EU) no. 236/2012 on short selling.

Additional information on the rolling model, including the above-mentioned documentation, is available in the dedicated section of Consob website (http://www.consob.it/web/consob-and-its-activities/highly-dilutive-rights-issues). Any question on the rolling model can be sent to: Consob - Market Division - Post-Trading Department – Via G. B. Martini 3 – 00198 Roma or by email to csdr@consob.it.

THE CHAIRMAN
Paolo Savona