Banco de Sabadell S A : AUDITORS REPORT ON BANCO DE SABADELL, S.A AND SUBSIDIARIES

Auditor's Report on Banco de Sabadell, S.A. and Subsidiaries

(Together with the condensed interim consolidated financial statements and the interim consolidated directors' report of Banco de Sabadell, S.A. and Subsidiaries for the period ended 30 June 2022)

(Translation from the original in Spanish. In the event of discrepancy, the Spanish-language version prevails.)

KPMG Auditores, S.L. Torre Realia

Plaça d'Europa, 41-43

08908 L'Hospitalet de Llobregat (Barcelona)

Independent Auditor's Report on the Condensed Interim

Consolidated Financial Statements

(Translation from the original in Spanish. In the event of discrepancy, the Spanish-language version prevails.)

To the Shareholders of Banco de Sabadell, S.A.

REPORT ON THE CONDENSED INTERIM CONSOLIDATED FINANCIAL STATEMENTS

Opinion __________________________________________________________________

We have audited the condensed interim consolidated financial statements of Banco de Sabadell, S.A. (the "Bank") and its subsidiaries that, together with the Bank, form the Banco de Sabadell Group (hereinafter the "Group"), which comprise the balance sheet at 30 June 2022, and the income statement, statement of recognised income and expenses, statement of total changes in equity and cash flow statement for the six-month period then ended, and explanatory notes (all condensed and consolidated).

In our opinion, the accompanying condensed interim consolidated financial statements of the Group for the six-month period ended 30 June 2022 have been prepared, in all material respects, in accordance with International Accounting Standard (IAS) 34 Interim Financial Reporting as adopted by the European Union, pursuant to article 12 of Royal Decree 1362/2007 as regards the preparation of condensed interim financial information.

Basis for Opinion _________________________________________________________

We conducted our audit in accordance with prevailing legislation regulating the audit of accounts in Spain. Our responsibilities under those standards are further described in the Auditor's Responsibilities for the Audit of the Condensed Interim Consolidated Financial Statements section of our report.

We are independent of the Group in accordance with the ethical requirements, including those regarding independence, that are relevant to our audit of the condensed interim consolidated financial statements pursuant to the legislation regulating the audit of accounts in Spain. We have not provided any non-audit services, nor have any situations or circumstances arisen which, under the aforementioned regulations, have affected the required independence such that this has been compromised.

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.

KPMG Auditores S.L., a limited liability Spanish company and a member firm of the KPMG global organisation of independent member firms affiliated with KPMG International Limited, a private English company limited by guarantee. All rights reserved.

Paseo de la Castellana, 259C 28046 Madrid

On the Spanish Official Register of Auditors ("ROAC") with No. S0702, and the Spanish Institute of Registered Auditors' list of companies with No. 10.

Reg. Mer Madrid, T. 11.961, F. 90, Sec. 8, H. M -188.007, Inscrip. 9 N.I.F. B-78510153

2

(Translation from the original in Spanish. In the event of discrepancy, the Spanish-language version prevails.)

Key Audit Matters ________________________________________________________

Key audit matters are those matters that, in our professional judgement, were of most significance in the audit of the condensed interim consolidated financial statements of the current period. These matters were addressed in the context of our audit of the condensed interim consolidated financial statements as a whole, and in forming our opinion thereon, and we do not provide a separate opinion on these matters.

Impairment of loans and advances to customers

See notes 1, 4.1, 4.2 and 10 to the condensed interim consolidated financial statements

Key audit matter	How the matter was addressed in our audit

The Group's portfolio of loans and advances to customers reflects a net balance of Euros 160,835 million at 30 June 2022, while allowances and provisions recognised at that date for impairment total Euros 2,978 million.

For the purposes of estimating impairment, financial assets measured at amortised cost are classified into three categories (Stage 1, 2 or 3) according to whether a significant increase in credit risk since their initial recognition has been identified (Stage 2), whether the financial assets are credit-impaired (Stage 3), or whether neither of the foregoing circumstances apply (Stage 1). For the Group, establishing this classification is a relevant process inasmuch as the calculation of allowances and provisions for credit risk varies depending on the category in which the financial asset has been included.

Impairment is calculated based on an expected loss model, which the Group estimates on both an individual and a collective basis. This calculation entails a considerable level of judgement as this is a significant and complex estimate.

Individual allowances and provisions consider estimates of future business performance and the market value of collateral provided for credit transactions.

In the case of collective allowances and provisions, estimates of expected losses are calculated using internal models that use large databases, different macroeconomic scenarios, parameters to estimate provisions, segmentation criteria and automated processes, which are complex in their design and implementation and require past, present and future information to be considered. The Group regularly conducts recalibrations and tests of its internal models in order to improve their predictive capabilities based on actual historical experience.

Our audit approach in relation to the Group's estimate of impairment of loans and advances to customers due to credit risk mainly consisted of assessing the methodology applied to calculate expected losses, particularly as regards the methods and assumptions used to estimate exposure at default, probability of default and loss given default; and determining the future macroeconomic scenarios. We also assessed the mathematical accuracy of the expected loss calculations and the reliability of the data used. To this end, we brought in our credit risk specialists.

Our procedures related to the control environment focused on the following key areas:

• Identifying the credit risk management framework and assessing the compliance of the Group's accounting policies with the applicable regulations.
• Evaluating the appropriateness of the classification of the loans and advances to customers portfolio based on their credit risk, in accordance with the criteria defined by the Group, particularly the criteria for identifying and classifying refinancing and restructuring transactions.
• Assessing the relevant controls relating to the monitoring of transactions.
• Evaluating whether the internal models for estimating both individual and collective allowances and provisions for expected losses, and for the management and valuation of collateral, are functioning correctly.
• Assessing the consideration of the aspects observed by the Internal Valuation Unit in the recalibration and tests of the models used to estimate collective provisions.

3

(Translation from the original in Spanish. In the event of discrepancy, the Spanish-language version prevails.)

Impairment of loans and advances to customers

See notes 1, 4.1, 4.2 and 10 to the condensed interim consolidated financial statements

Key audit matter	How the matter was addressed in our audit

The effects of the conflict between Russia and Ukraine and the current levels of inflation are considerably changing the present geopolitical and macroeconomic backdrop, thus heightening uncertainty as to future developments and impacting on the economy and business activities of the countries where the Group operates. Calculating expected credit risk losses therefore entails greater uncertainty and requires a higher degree of judgement, primarily as regards estimating macroeconomic scenarios, and the Group has supplemented the expected loss with certain additional temporary adjustments.

The consideration of this matter as a key audit matter is based both on the significance for the Group of the loans and advances to customers portfolio, and thus of the related allowance and provision, as well as on the relevance of the process for classifying these financial assets for the purpose of estimating impairment thereon and the subjectivity and complexity of calculating expected losses.

• Evaluating the integrity, accuracy and updating of the data used and of the control and management process in place.

Our tests of detail on the estimated expected losses included the following:

• With regard to the impairment of individually significant transactions, we analysed the appropriateness of the cash flow discount models used by the Group. We also selected a sample from the population of significant credit- impaired risks and assessed the adequacy of the provision recognised.
• With respect to the allowances and provisions for impairment estimated collectively, we evaluated the methodology used by the Group, assessing the integrity and accuracy of the input balances for the process and whether the calculation engine is functioning correctly by repeating the calculation process for all contracts, taking into account the segmentation and assumptions used by the Group.
• We evaluated the methods and assumptions used to estimate exposure at default, probability of default and loss given default, having assessed the macroeconomic scenario variables used by the Group in its internal models to estimate the expected loss. Moreover, we evaluated the additional adjustments to the internal models used to estimate the expected losses recognised by the Group at 30 June 2022.

We also analysed whether the disclosures in the explanatory notes to the condensed interim consolidated financial statements were prepared in accordance with the criteria set out in the financial reporting framework applicable to the Group.

4

(Translation from the original in Spanish. In the event of discrepancy, the Spanish-language version prevails.)

Recoverability of goodwill

See note 12 to the condensed interim consolidated financial statements

Key audit matter	How the matter was addressed in our audit

At 30 June 2022 the Group has recognised goodwill totalling Euros 1,027 million, from the acquisition of certain entities and businesses in Spain. This goodwill is allocated to the group of cash-generating units (CGUs) that comprise the operating segment of the banking business in Spain.

The Group tests recognised goodwill for impairment on a half-yearly basis, or when impairment indicators are identified. At 30 June 2022 the Group's assessment determined that there was no impairment of recognised goodwill.

Testing of goodwill for impairment requires the cash- generating units (or groups of cash-generating units) to which goodwill is allocated to be determined, and also requires identification of indications of impairment in each of the CGUs comprising a group of CGUs, calculation of their carrying amount and estimation of the recoverable amount of the CGUs (or groups of CGUs).

Among other aspects, this estimate entails financial projections that take into account, inter alia, expected trends in macroeconomic variables and their impact on the future business of the CGUs (or groups of CGUs), the internal circumstances of the Group and its competitors and trends in discount rates.

Due to the high level of judgement and subjectivity of the assumptions and valuation techniques used for its estimate, the recoverability of goodwill has been considered a key audit matter.

Our audit procedures included analysing the key processes and controls established by management relating to the process followed by the Group to identify the group of CGUs to which goodwill is allocated, and evaluating the potential impairment of goodwill made by management, which has been subject to review by an independent expert engaged by the Group.

We also carried out procedures of detail, including the following:

• Assessing the existence of indications of impairment of each of the CGUs that comprise the group of CGUs to which goodwill is allocated.
• Evaluating the reasonableness of the methodology used by management to analyse goodwill impairment, performing procedures on the reliability of the information used to calculate the recoverable amount of the group of CGUs comprising the operating segment of the banking business in Spain. We also carried out procedures to evaluate the reasonableness of the main assumptions considered, including the financial projections used by the Group.

• Analysing the sensitivity of certain assumptions to changes that are considered reasonable.

We also analysed whether the disclosures in the explanatory notes to the condensed interim consolidated financial statements were prepared in accordance with the criteria set out in the financial reporting framework applicable to the Group.

Risks associated with information technology

Key audit matter	How the matter was addressed in our audit

The Group operates in a complex technological environment that is constantly evolving and which must efficiently and reliably meet business requirements. The high level of dependence on these systems with regard to the processing of the Group's financial and accounting information make it necessary to ensure that these systems function correctly.

In this context, it is critical to ensure that management of the technological risks that could affect information systems is adequately coordinated

With the assistance of our specialists in information systems, we carried out tests, at each of the Group entities that are considered relevant for the purpose of the audit, relating to the internal control of the processes and systems involved in generating financial information in the following areas:

• Understanding of the information flows and identification of the key controls that ensure the appropriate processing of the financial information.