TRANSLATORS’ EXPLANATORY NOTE

The English content of this report is a free translation of the registered auditor’s report of the below- mentioned Polish Company. In Poland statutory accounts as well as the auditor’s report should be prepared and presented in Polish and in accordance with Polish legislation and the accounting principles and practices generally adopted in Poland.

The accompanying translation has not been reclassified or adjusted in any way to conform to the accounting principles generally accepted in countries other than Poland, but certain terminology current in Anglo-Saxon countries has been adopted to the extent practicable. In the event of any discrepancies in interpreting the terminology, the Polish language version is binding.

PricewaterhouseCoopers Polska spółka z ograniczoną odpowiedzialnością Audyt sp. k. , ul. Polna 11, 00-633 Warsaw, Poland, T: +48 (22) 746 4000, F:+48 (22) 742 4040 ,

www.pwc.pl

PricewaterhouseCoopers Polska spółka z ograniczoną odpowiedzialnością Audyt sp. k. is entered into the National Court Register maintained by the District Court for the Capital City of Warsaw, under KRS number 0000741448, NIP 113-23-99-979. The seat of the Company is in Warsaw at Polna 11.

Independent Registered Auditor’s Report

To the General Shareholders’ Meeting and the Supervisory Board of PKO Bank Hipoteczny S.A.

Report on the audit of financial statements

Our opinion

In our opinion, the accompanying annual financial statements:

• give a true and fair view of the financial position of PKO Bank Hipoteczny S.A. (the “Bank”) as at 31 December 2021 and the Bank’s financial performance and the cash flows for the year then ended in accordance with the applicable International Financial Reporting Standards as adopted by the European Union and the adopted accounting policies;

• comply in terms of form and content with the laws applicable to the Bank and the Bank’s Articles of Association;

• have been prepared on the basis of properly maintained books of account in accordance with the provisions of Chapter 2 of the Accounting Law of 29 September 1994 (the “Accounting Act”)

Our opinion is consistent with our additional report to the Audit and Finance Committee issued on the date of this report.

What we have audited

We have audited the annual financial statements PKO Bank Hipoteczny S.A. which comprise:

• the statement of financial position as at 31 December 2021;

and the following prepared for the financial year from 1 January to 31 December 2021:

• the income statement;

• the statement of comprehensive income;

• the statement of changes in equity;

• the statement of cash flows, and

• the notes comprising a description of the significant adopted accounting policies and other explanations.

Basis for opinion

We conducted our audit in accordance with the National Standards on Auditing in the wording of the International Standards on Auditing as adopted by the resolution of the National Council of Statutory Auditors (“NSA”) and pursuant to the Law of 11 May 2017 on Registered Auditors, Registered Audit Companies and Public Oversight (the “Law on Registered Auditors”).and the Regulation (EU) No.

537/2014 of 16 April 2014 on specific requirements regarding the statutory audit of public-interest entities (the “EU Regulation”). Our responsibilities under NSA are further described in the Auditor’s responsibilities for the audit of the financial statements section of our report.

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

Independence

We are independent of the Bank in accordance with the International Code of Ethics for Professional Accountants (including International Independence Standards) issued by the International Ethics Standards Board for Accountants (IESBA Code) as adopted by resolution of the National Council of Statutory Auditors and other ethical requirements that are relevant to our audit of the financial statements in Poland. We have fulfilled our other ethical responsibilities in accordance with these requirements and the IESBA Code. During the audit, the key registered auditor and the registered audit firm remained independent of the Bank in accordance with the independence requirements set out in the Act on Registered Auditors and in the EU Regulation

Our audit approach

Overview

• The overall materiality threshold adopted for the purposes of our audit was set at PLN 34 million, which represents approximately 0,2% of total liabilities due to the issue of mortgage covered bonds and bonds as at 31 December 2021.

• We have audited the annual financial statement of the Bank for the period ended 31 December 2021.

• Estimating the expected credit loss in the portfolio of loans and advances to customers

As part of designing our audit, we determined materiality and assessed the risks of material misstatement in the financial statements. In particular, we considered where the Bank’s Management

Materiality

Scope of audit

Key audit matters

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Board made subjective judgements; for example, in respect of significant accounting estimates that involved making assumptions and considering future events that are inherently uncertain. As in all of our audits we also addressed the risk of management override of internal controls, including among other matters, consideration of whether there was evidence of bias that represented a risk of material misstatement due to fraud.

Materiality

The scope of our audit was influenced by our application of materiality. An audit is designed to obtain reasonable assurance whether the financial statements are free from material misstatement. Misstatements may arise due to fraud or error. They are considered material if, individually or in aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of the financial statements.

Based on our professional judgement, we determined certain quantitative thresholds for materiality, including the overall materiality for the financial statements as a whole, as set out in the table below . These, together with qualitative considerations, helped us to determine the scope of our audit and the nature, timing and extent of our audit procedures and to evaluate the effect of misstatements, if any, both individually and in aggregate on the financial statements as a whole.

Overall materiality

PLN 34 million

How we determined it

approximately 0.2% of total liabilities due to the issue of mortgage covered bonds and bonds as at 31 December 2021

Rationale for the materiality benchmark applied

We adopted the balance of total liabilities due to the issue of mortgage covered bonds and bonds as the benchmark, because PKO Bank Hipoteczny SA is a specialized bank whose main goal is to obtain financing for the PKO Bank Polski Group through the issue of covered bonds and bonds.

We chose 0.2%, which based on our professional judgement, is within the acceptable quantitative materiality thresholds.

We agreed with the Audit and Finance Committee that we would report to them misstatements identified during our audit above PLN 3.4 PLN million, as well as misstatements below that amount that, in our view, warranted reporting for qualitative reason

Key audit matters

Key audit matters are those matters that, in our professional judgement, were of most significance in our audit of the financial statements of the current period. They include the most significant identified risks of material misstatements, including the identified risks of material misstatement resulting from fraud. These matters were addressed in the context of our audit of the financial statements as a whole, and in forming our opinion thereon,. We do not provide a separate opinion on these matters.

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Key audit matter

How our audit addressed the key audit matter

Estimating the expected credit loss in the portfolio of loans and advances to customers

In accordance with International Financial Reporting Standard 9 "Financial Instruments" ("IFRS 9"), the Management Board is required to determine the expected credit loss ("ECL") in the portfolio of loans and advances to customers that may occur over either a 12 months period or the remaining life of an asset, depending on the classification of individual assets into risk categories ("stages").

Estimating the level of allowance for credit losses requires a significant dose of judgement with regard to the identification of impairment indicators and significant increase in credit risk, assessment of the customer's credit quality, value of collateral and expected recoveries.

With regard to loans and advances assessed using statistical methods, there is a risk of selecting incorrect data for determining model parameters, the risk of using an incorrect parameter calculation methodology and the risk of errors in the impairment calculation process, in which large amounts of data are used. The completeness and reliability of the data used may significantly affect the accuracy of the modelled estimates.

The Bank's Management monitors the accuracy of performance of the models by comparing the results estimated by the models to the actual credit losses (backtesting procedures) to ensure that the level of portfolio provision for loans and advances is appropriate.

We considered the level of allowances for expected credit losses in the portfolio of loans and advances to be a key audit matter due to:

● a significant judgement required by the Bank's Management when designing future macroeconomic scenarios, forecasting

As part of our procedures, we updated our understanding of the internal control environment with regard to the recognition and calculation of expected credit losses. We tested the effectiveness of selected key controls implemented by the Bank’s Management, in particular:

● procedures regarding implementation of client data in expected credit loss calculation;

● procedures regarding timing and completeness identification of a significant increase in credit risk (stage 2) and impairment (stage 3).

As part of the work on statistical models, we performed the following procedures, for which we engaged our credit risk modelling specialists:

● assessment of whether the methodology used by the Bank for estimating credit losses in the portfolio of loans and advances complies with the requirements of IFRS 9, in particular verification of the Bank's approach to the application of criteria for identifying significant credit risk, default definition, probability of default and loss given default parameters and forward looking information in estimating expected credit losses;

● assessment of the Bank's assumptions and expert adjustments used in the model;

● critical analysis of key judgments and assumptions, including macroeconomic scenarios and and the probability-weights assigned to particular scenarios;

● analysis of the stability of the model and its adaptation to the current conditions;

● independent tests of credit risk parameters.

In addition, we performed the following

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macroeconomic variables, probability-weighting scenarios and applying expert credit adjustments not already included in the models;

● a high degree of estimation uncertainty related to the estimation of the allowance for expected credit losses;

● significant audit effort necessary to evaluate audit evidence as the estimation of the allowance for credit losses is a complex calculation that involves a large volume of data.

Note 21 Expected credit losses, Note 39.4.4 Loans and advances to customers and Note 39.2 Impairment of credit exposures in the financial statements provide detailed information on the methods and models used and the level of expected credit loss for loans and advances to customers.

procedures:

● we reconciled the selected input data used to determine default parameters and estimate expected credit losses;

● we also recalculated expected credit losses based on assumptions adopted by the Bank;

● we performed analytical procedures in respect of the impairment coverage of the credit portfolio and its changes in 2021 as well as transfers of exposures between stages in 2021.

We have analysed the results of the sensitivity analysis of expected credit losses due to the deterioration or improvement of risk parameters prepared by the Management Board.

We also verified the completeness and accuracy of disclosures in the financial statements in accordance with the applicable accounting standards.

Responsibility of the Management and Supervisory Board for the financial statements

The Management Board of the Bank is responsible for the preparation, of the annual financial statements that give a true and fair view of the Bank’s financial position and results of operations, in accordance with International Financial Reporting Standards as adopted by the European Union, the adopted accounting policies, the applicable laws and the Bank’s Articles of Association, and for such internal control as the Management Board determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error.

In preparing the financial statements, the Bank’s Management Board is responsible for assessing the Bank’s ability to continue as a going concern, disclosing, as applicable, matters related to going concern and using the going concern basis of accounting unless the Management Board either intends to liquidate the Bank or to cease operations, or has no realistic alternative but to do so.

The Bank’s Management Board and members of the Supervisory Board are obliged to ensure that the financial statements comply with the requirements specified in the Accounting Act. Members of the Supervisory Board are responsible for overseeing the financial reporting process.

Auditor’s responsibility for the audit of the financial statements

Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditor’s report that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with the NSA will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in

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aggregate, they could reasonably be expected to influence economic decisions of users taken on the basis of these financial statements.

The scope of the audit does not include an assurance on the Bank’s future profitability nor the efficiency and effectiveness of the Bank’s Management Board conducting its affairs, now or in future.

As part of an audit in accordance with NSA, we exercise professional judgement and maintain professional scepticism throughout the audit. We also:

• Identify and assess the risks of material misstatement of the financial statements, whether due to fraud or error, design and perform audit procedures responsive to those risks, and obtain audit evidence that is sufficient and appropriate to provide a basis for our opinion. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control.

• Obtain an understanding of internal control relevant to the audit in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Bank’s internal control.

• Evaluate the appropriateness of accounting policies used and the reasonableness of accounting estimates and related disclosures made by the Bank’s Management Board.

• Conclude on the appropriateness of the Bank’s Management Board’s use of the going concern basis of accounting and, based on the audit evidence obtained, whether a material uncertainty exists related to events or conditions that may cast significant doubt on the Bank’s ability to continue as a going concern. If we conclude that a material uncertainty exists, we are required to draw attention in our auditor’s report to the related disclosures in the financial statements or, if such disclosures are inadequate, to modify our opinion. Our conclusions are based on the audit evidence obtained up to the date of our auditor’s report. However, future events or conditions may cause the Bank to cease to continue as a going concern.

• Evaluate the overall presentation, structure and content of the financial statements, including the disclosures, and whether the financial statements represent the underlying transactions and events in a manner that achieves fair presentation.

We communicate with the Audit and Finance Committee regarding, among other matters, the planned scope and timing of the audit and significant audit findings, including any significant deficiencies in internal control that we identify during our audit.

We also provide the Audit and Finance Committee with a statement that we have complied with relevant ethical requirements regarding independence, and to communicate with them all relationships and other matters that may reasonably be thought to bear on our independence, and where applicable, actions taken to eliminate threats or safeguards applied.

From the matters communicated to the Audit and Finance Committee, we determine those matters that were of most significance in the audit of the financial statements of the current period and are therefore the key audit matters. We describe these matters in our auditor’s report unless law or regulation precludes public disclosure about the matter or when, in extremely rare circumstances, we determine that a matter should not be communicated in our report because the adverse consequences of doing so would reasonably be expected to outweigh the public interest benefits of such communication.

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Other information, including the report on the operations

Other information

Other information comprises a Report on the Bank’s operations for the financial year ended 31 December 2021 (“the Report on the operations”) and the corporate governance statement which is a separate part of the Report on the operations, and the Annual Report for the financial year ended 31 December 2021 (“the Annual Report”) (together “Other Information”). Other information does not include the financial statements and our auditor’s report thereon.

Responsibility of the Management and Supervisory Board

The Management Board of the Bank is responsible for the preparation of the Other Information in accordance with the law.

The Bank’s Management Board and the members of the Supervisory Board are obliged to ensure that the Report on the operations of the Bank including its separate parts complies with the requirements of the Accounting Law.

Registered auditor’s responsibility

Our opinion on the financial statements does not cover the Other Information.

In connection with our audit of the financial statements, our responsibility is to read the Other Information and, in doing so, consider whether the Other Information is materially inconsistent with the information in the financial statements, our knowledge obtained in our audit, or otherwise appears to be materially misstated. If, based on the work performed, we identified a material misstatement in the Other Information, we are obliged to inform about it in our audit report. In accordance with the requirements of the Law on the Registered Auditors, we are also obliged to issue an opinion on whether the Report on the operations has been prepared in accordance with the law and is consistent with information included in annual financial statements.

Moreover, we are obliged to issue an opinion on whether the Bank provided the required information in its corporate governance statement.

If we identify a material misstatement in the Annual Report, we are obliged to inform the Bank’s Supervisory Board of this fact.

In addition, we are required to audit the financial information included in item 3 of the Report on the operations in accordance with the scope described in this audit report and the requirements of the Banking Law of 29 August 1997 (“the Banking Law”).

Opinion on the Report on the operations

Based on the work we carried out during our audit, in our opinion, the Report on the operations of the Bank:

• has been prepared in accordance with the requirements of Article 49 of the Accounting Act and para. 70 the Regulation of the Minister of Finance dated 29 March 2018 on current and periodical information submitted by issuers of securities and conditions for considering as equivalent the information required under the legislation of a non-Member State (“Regulation on current information”) and Article 111(1–2) of the Banking Law;

• is consistent with the information in the financial statements.

Moreover, based on the knowledge of the Bank and its environment obtained during our audit, we have not identified any material misstatements in the Report on the operations of the Bank and the remaining Other information.

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Opinion on the corporate governance statement

In our opinion, in its corporate governance statement, the Bank included information set out in para. 70.6 (5) of the Regulation on current information. In addition, in our opinion, information specified in paragraph 70.6 (5)(c)–(f), (h) and (i) of the said Regulation included in the corporate governance statement are consistent with the applicable provisions of the law and with information included in the financial statements.

Report on other legal and regulatory requirements

Information on compliance with prudential regulations

The Management Board of the Bank is responsible for complying with the applicable prudential regulations set out in separate legislation, and in particular, for correct determination of the capital ratios.

The capital ratios as at 31 December 2021 have been presented in Note 51.4 of the financial statements and include Common Equity Tier 1 capital ratio, Tier 1 capital ratio and the total capital ratio.

We are obliged to inform in our report on the audit of the financial statements whether the Bank has complied with the applicable prudential regulations set out in separate legislation, and in particular, whether the Bank has correctly determined its capital ratios. For the purposes of the said information, the following legal acts are understood as separate legislation: 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 and amending Regulation (EU) No 648/2012, as amended (“CRR”), the Banking Law and the Act of 5 August 2015 on macro-prudential supervision over the financial system and on crisis management in the financial system (“the Act on macro-prudential supervision”).

It is not the purpose of an audit of the financial statements to present an opinion on compliance with the applicable prudential regulations specified in the separate legislation specified above, and in particular, on the correct determination of the capital ratios, and therefore, we do not express such an opinion.

Based on the work performed by us, we inform you that we have not identified:

• any cases of non-compliance by the Bank with the applicable prudential regulations set out in separate legislation referred to above, in the period from 1 January to 31 December 2021;

• any irregularities in the determination by the Bank of the capital ratios as at 31 December 2021 in accordance with the separate legislation referred to above;

which would have a material impact on the financial statements.

Statement on the provision of non-audit services

To the best of our knowledge and belief, we declare that the non-audit services we have provided to the Bank are in accordance with the applicable laws and regulations in Poland and that we have not provided any non-audit services prohibited under Article 5(1) of the EU regulation and Article 136 of the Law on Registered Auditors.

The non-audit services which we have provided to the Bank during the audited period are disclosed in the Report on the Bank’s operations

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Appointment

We have been appointed to audit the annual financial statements of the Bank by the Resolution no 13 of the Supervisory Board of 27 February 2019. We have been auditing the Bank’s financial statements without interruption since the financial year ended 31 December 2020, i.e. for two consecutive years.

The Key Registered Auditor responsible for the audit on behalf of PricewaterhouseCoopers Polska spółka z ograniczoną odpowiedzialnością Audyt sp.k., a company entered on the list of Registered Audit Companies with the number 144., is Agnieszka Accordi.

Agnieszka Accordi

Key Registered Auditor

No. 11665

Warsaw, 17 February 2022