#1Credit & Sustainability Framework Update May 2020 CAJA RURAL DE NAVARRA COVERED BOND LABEL CAJA RURAL DE NAVARRA#2CAJA RURAL DE NAVARRA INDEX 1. Caja Rural de Navarra, Credit Cooperative 2. Operative Environment 3. Liquidity Management 4. Sustainability Bond Framework and EESG Seal 5. Cover Bond Label 6. Caja Rural Group 7. Annex Link Attachments - 8. Contacts This document should not be distributed in the United States or to U.S. persons as defined in Regulation S of the U.S. Securities Act of 1933, as amended 3 16 23 26 41 51 56 57#31. CAJA RURAL DE NAVARRA, CREDIT COOPERATIVE Red vineyard in Estella.#4CAJA RURAL DE NAVARRA This document should not be distributed in the United States or to U.S. persons as defined in Regulation S of the U.S. Securities Act of 1933, as amended CAJA RURAL DE NAVARRA - COMPANY PROFILE Established in 1910 as the central institution of the local co-operatives of the region and evolving from 1946 as a regional co-op bank. Its origins were rooted in the rural and agribusiness environment of that time, but the bank's activities have developed in line with the strong industrialisation of its home region. • Founding member of AECR (Asociación Española de Cajas Rurales), and its central institutions (BCE, RSI and RGA). It is the 1st Caja Rural of the AECR by assets and by equity. Caja Rural Group (through UNACC) belongs to the European Association of Cooperative Banks (EACB). Source: Caja Rural de Navarra EUROPEAN ASSOCIATION OF CO-OPERATIVE BANKS Rabobank DZ BANK CCRÉDIT AGRICOLE CORPORATE & INVESTMENT BANK BANCO COPERATIVO ESPAÑOL RAIFFEISEN OP + BCC Raiffeisen CREDITO COOPERATIVO BANK#5CAJA RURAL DE NAVARRA This document should not be distributed in the United States or to U.S. persons as defined in Regulation S of the U.S. Securities Act of 1933, as amended CAJA RURAL DE NAVARRA - COMPANY PROFILE Banking culture firmly based on austerity, local focus, risk control, accountability and transparency, in line with the co-operative tradition. • Strategy of stable growth in its region. No country-wide expansion plans, no aggressive development in any other business apart from retail banking. This strategy remains within the overall strategy of the Caja Rural Group and most co-operative banking groups in Europe. ⚫ Retail business is focused on serving the needs of individuals and SMEs in our regions. • • More than 164,000 co-op members (shareholders), with a wide representation of different sectors of our economy and society. • 252 branches distributed all over the regions of Navarre, Basque Country and Rioja. Navarre and Basque Country account for 90% of the loan book. Sustainability Framework for its Bond issuance > Use of proceeds into loan portfolio. Source: Caja Rural de Navarra SUSTAINALYTICS Medieval Pamplona city fortifications. 52#6CAJA RURAL DE NAVARRA This document should not be distributed in the United States or to U.S. persons as defined in Regulation S of the U.S. Securities Act of 1933, as amended CAJA RURAL DE NAVARRA - FINANCIAL HIGHLIGHTS¹ KEY FINANCIAL DATA² (IN MILLIONS OF EURO) DEPOSITS AND LOAN BOOK 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Єm DEC 19 DEC 18 DEC 17 8.000 Total Assets 12,946 12,038 11,557 6.000 Average Total Assets 12,544 11,770 11,246 4.000 Risk Weigthed Assets (RWA) 7,255 6,724 6,458 2.000 Total Equity 1,213 1,099 1,058 0 of which Tier 1 1,218 1,103 1.027 Gross Loans 8,262 7,944 7,447 Deposits 8,741 8,021 7,534 Employees 963 965 959 €m 250 Branches 253 252 250 200 Net Interest Income 163.0 150.0 154.3 150 Pre-tax Profit 94.3 103.0 85.3 100 Net Income 85.2 91.2 86.8 50 ■Loan Book Deposit Taking NIMS + FEES 0 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2 Provisional non-consolidated data (non-audited and pending approval by the General Assembly). Based on end-2019 financial data. 2020 Credit and Sustainability Framework CRN 1 Individual basis. 60#7CAJA RURAL DE NAVARRA CAJA RURAL DE NAVARRA - FINANCIAL HIGHLIGHTS' FINANCIAL RATIOS² CORE TIER 1 REGULATORY CAPITAL RATIO (PHASED IN)³ DEC 19 DEC 18 DEC 17 19% Capitalization 17% Core tier 1 regulatory capital ratio (phased in)³ 16.79% 16.40% 15.90% 15% Core tier 1 regulatory capital ratio (fully loaded)³ 16.58% 16.12% 15.84% 13% Equity/total assets 9.37% 9.13% 9.15% 11% Asset quality indicators 9% Growth of gross loans 3.99% 6.68% 6.48% NPL 2.09% 1.77% 2.02% Profitability ratios Net interest income/total assets 1.26% 1.25% 1.34% Pre-tax profit/ average total assets 0.75% 0.88% 0.76% RoE 7.85% 9.18% 9.35% 5% Funding 4% Gross loans/customer deposits (LtD) 94.52% 99.04% 98.85% Liquidity 2% LCR of de de de de of 6% 3% NSFR4 1 Individual basis. 2 Provisional non-consolidated data (non-audited and pending approval by the General Assembly). Based on end-2019 financial data. 3 Calculated with the standard method. 4 Provisional data: NSFR final requirement and calculation method are not definitely approved. Ratio calculation based on current available information. 2020 Credit and Sustainability Framework CRN 2000 2001 2002 2003 2004 2009 This document should not be distributed in the United States or to U.S. persons as defined in Regulation S of the U.S. Securities Act of 1933, as amended 2010 2011 2012 2013 2014 2015 2016 IMPAIRED LOANS 370% 510% 605% 1% 0% 153% 153% 147% 2009 2010 2011 2012 2013 2014 2015 -Impaired Loans (IL)/Gross Loans (LHS) 2016 2017 2018 2019 7 2017 2018 2019#8Aaa Aal Aa2 Aa3 Al A2 A3 Baal Baa2 Baa3 nov-07 dic-08 dic-10 2020 Credit and Sustainability Framework CRN oct-11 SPGB feb-12 jun-12 AAA AA+ AA AA- A+ A A- BBB+ BBB dic-01 dic-12 CRN dic-03 dic-04 feb-14 dic-14 dic-06 dic-08 may-10 oct-11 ene-12 SPGB dic-16 CAJA RURAL DE NAVARRA Issuer rating (Fitch / Moody's) Covered Bond rating (Moody's) FITCH CAJA RURAL DE NAVARRA - FINANCIAL HIGHLIGHTS dic-12 abr-14 dic-14 dic-16 CRN MOODY'S abr-18 dic-19 ene-18 dic-19 Fitch Ratings RATINGS This document should not be distributed in the United States or to U.S. persons as defined in Regulation S of the U.S. Securities Act of 1933, as amended BBB+ (negative)/ Baal (stable) Aal MOODY'S • CRN is among the very few Spanish banks having retained investment grade ratings by both Moody's and Fitch throughout the financial and sovereign crisis. . • Past rating downgrades were always carried out as a result of sovereign downgrades and the application of the rating agencies methodology in terms of country ceiling. 8#9CAJA RURAL DE NAVARRA This document should not be distributed in the United States or to U.S. persons as defined in Regulation S of the U.S. Securities Act of 1933, as amended CAJA RURAL DE NAVARRA - FINANCIAL HIGHLIGHTS¹ • Solid asset quality (NPL ratio of 2.09%). • CRN has high solvency ratios (CET] phase in/fully loaded: 16.79% /16.58%) owing to its high level of earnings retention, as co-operative by-laws require the yearly surplus to become part of undistributable reserves • The bank's ratings reflect this situation, keeping a level of BBB+ (negative) by Fitch and Baal (stable) by Moody's. Only four Spanish banks (BBVA, Santander, Caixabank and Caja Rural de Navarra) have maintained investment grade ratings by both agencies throughout the crisis. • Low exposure to Real Estate (3.89% of Total Loans), in regions with a much more stable housing market due to regional economic conditions and the absence of a tourism-related building boom. • Strong local franchise: 29.40% market share in deposits and 25.77% credit in Navarre in September 2019. More than half the population over 18 years-old in Navarre is a customer of CRN. • CRN is committed to further increasing its profitability by achieving a balance between growth and sustained margins, controlled expansion and increased fee generation. Despite Caja Rural de Navarra's sound capital ratios, RoE ratio is resilient at 7.85%. Source: Caja Rural de Navarra 1 Provisional non-consolidated data (non-audited and pending approval by the General Assembly). Based on end-2019 financial data. 2020 Credit and Sustainability Framework CRN 9#10CAJA RURAL DE NAVARRA This document should not be distributed in the United States or to U.S. persons as defined in Regulation S of the U.S. Securities Act of 1933, as amended CAJA RURAL DE NAVARRA - MAIN FINANCIAL DATA 1.000 900 800 700 600 500 400 300 200 100 0 1998 DEPOSIT TAKING AND LOAN BOOK 2001 CRN loan book Index base (1998=100) 2004 2007 2010 2013 2016 2019 CRN deposits Spanish banking system loan book Spanish banking system deposits NIIMS + FEES On the long run CRN has significantly gained market share by outpacing the growth of the overall financial sector after the crisis, due to its ability to maintain a retail and regional business model coupled with ample capital and liquidity buffers, combined with a 'throughout-the- cycle" healthy asset quality. Income sources (NIM+Fees) have grown much more than the Spanish financial sector average, reflecting a self-sustained and organic growth model which keeps profitability and efficiency as key strategic targets. 500 400 Index base (1998=100) 300 200 100 0 1998 2001 2004 2007 2010 Caja Rural de Navarra 2013 Spanish banking system 2016 2019 Source: Caja Rural de Navarra, Bank of Spain. 2020 Credit and Sustainability Framework CRN City Council and San Sebastian Bay 10#11CAJA RURAL DE NAVARRA This document should not be distributed in the United States or to U.S. persons as defined in Regulation S of the U.S. Securities Act of 1933, as amended CAJA RURAL DE NAVARRA - MAIN FINANCIAL DATA ENTITY Kutxabank Bankia Caja Rural de Navarra Unicaja Ibercaja CaixaBank BBVA Sabadell Bankinter 1 Santander Lower SREP requirements due to CRN's credit profile. RATINGS Total Capital SREP Requirement 2018 Phase-in total Capital Ratio (Dec-19) Surplus 11.70% 17.17% 5.47% 12.75% 18.10% 5.35% 11.63% 16.79% 5.16% 12.25% 17.10% 4.85% 12.50% 16.40% 3.90% 12.28% 15.70% 3.42% 12.77% 15.92% 3.15% 13.13% 15.70% 2.57% 11.70% 13.94% 2.24% 13.18% 15.05% 1.87% • Nevertheless, CRN's capitalization is among the highest, leading to top performance in terms of surplus solvency ratios. Moreover, solvency quality is very high, with CET1 making up 100% of total capital ratio. • No material MREL issuance needs foreseen, due to very high total capital ratios. Source: CNMV, public information. 1 Fully loaded total capital ratio data. 2020 Credit and Sustainability Framework CRN 11#12CAJA RURAL DE NAVARRA This document should not be distributed in the United States or to U.S. persons as defined in Regulation S of the U.S. Securities Act of 1933, as amended CAJA RURAL DE NAVARRA - MAIN FINANCIAL DATA 8% NON-PERFORMING LOANS 7% 6% 5% 4% 3% 2% 1% 0% Austria France Germany Italy Netherlands Portugal Spain Belgium COVERAGE RATIO EU CRN 110% 90% 70% 50% 30% 10% -10% חה CRN EU Austria France Germany Italy Netherlands Portugal Spain Belgium 12 Source: EBA Risk Dashboard. Data as of Q4 2019. Data includes Norway and Iceland. 2020 Credit and Sustainability Framework CRN#13CAJA RURAL DE NAVARRA This document should not be distributed in the United States or to U.S. persons as defined in Regulation S of the U.S. Securities Act of 1933, as amended CAJA RURAL DE NAVARRA - MAIN FINANCIAL DATA Camino de Santiago as it passes by Eunate 1 Source: European Banking Authority (EBA). Data as of 4Q2019. Data includes Norway and Iceland. 2 Source: Caja Rural de Navarra Data as of 4Q2019. 2020 Credit and Sustainability Framework CRN EU Banks (1) CRN(2) CET1 ratio (transitional) 15.00% 16.79% CET1 ratio (fully loaded) 14.80% 16.58% NPL ratio 2.70% 2.09% Efficiency ratio 64.00% 42.31% RoE 5.80% 7.85% Leverage ratio (fully phased-in) 5.50% 8.82% 13#14CAJA RURAL DE NAVARRA This document should not be distributed in the United States or to U.S. persons as defined in Regulation S of the U.S. Securities Act of 1933, as amended CAJA RURAL DE NAVARRA -COVID19-IMPACT SENSITIVITY INDEX TO THE COVID-19 CRISIS TO THE MOST SENSITIVE SECTORS Sectors exposure to impacts of coronavirus vary. EMEA conronavirus heat map. REGIONS SENSITIVE SECTORS HOSTELS AND RESTAURANTS Canarias 140,8 231,38 HIGH EXPOSURE MODERATE EXPOSURE LOW EXPOSURE Baleares 130 209,12 Andalucía 110,08 116,2 Automotive and auto suppliers Chermicals Valencia 109,79 106,79 Apparel Murcia 108,51 91,64 TOTAL NACIONAL 100 100 Retail (non-food) Cataluña 98,14 87,67 Asturias 96,55 93,63 Cantabria 96,09 97,3 Ceuta 94,4 93,12 Services companies Madrid 93,42 81,32 Galicia 92,3 80,52 Consumer durables Media Defense La Rioja 90,67 86,39 Restaurants Gaming Utilitties Melilla 89,24 93,78 Leisure & entertainment Education services Basque Country 88,72 77,23 Extremadura 86,71 77,23 Beverages Passengers arilines Tourism/Lodging/Cruise Global shipping Manufacturing Oil and gas Steel production Metals & Mining Building materials Construction Technology services Real state Retail (food) CRN is heavily oriented to those sectors identified by Moody's as "low" or "medium" exposure to Covid-19. Telecoms ⚫ Packaging Pharmaceuticals Castilla y León 86,65 83,06 Aragón 82,81 76,73 Healthcare services Navarre 81,96 72,56 Castilla-La Mancha 75,12 73,4 Sensitive sectors: retail and wholesale trade, automotive, hotels and restaurants, real estate, education, entertainment, artistic and leisure activities Source: Data from Social Security system as of March-April 2020. • Industrial sectors are much more relevant to the economy of Navarre and Basque Country (around 30% of their GDP) than to the Spanish average (15%). ⚫ Moreover, the service sectors most impacted by Covid-19 affect markedly less CRN's portfolio, with a tourism-related exposure which is half the country's average. 1 Data as of 3Q2020. 2020 Credit and Sustainability Framework CRN Source Moody's Investors Service. Corporate Sector Risk to COVID-19 loan book impact¹ Corporate exposure (millions of €) LOW 2.562 MODERATE HIGH Share of corporate Share of total loan exposures exposures 64,0% 29,9% 796 19,9% 9,3% 643 16,1% 7,5% TOTAL corporate loan exposures 4.001 TOTAL loan exposures 8.570 14#1530% 28% 26% 24% 22% 20% 18% 16% 14% CAJA RURAL DE NAVARRA CAJA RURAL DE NAVARRA - STRATEGY MARKET SHARE (DEPOSITS AND CREDITS IN NAVARRE)1 Caja Rural de Navarra-as it is the case of many co-operative banks- has become the only local financial institution in its home market after the restructuration of the Spanish financial sector. dic-09 Source: Caja Rural de Navarra, Bank of Spain. Data as of September 2019. 2 Data as of September 2019. 2020 Credit and Sustainability Framework CRN dic-10 dic-11 dic-12 dic-13 dic-14 -Deposits dic-15 dic-16 dic-17 Credits dic-18 sep-19 This document should not be distributed in the United States or to U.S. persons as defined in Regulation S of the U.S. Securities Act of 1933, as amended This position offers a huge historical opportunity for co- operative banks, underpinned by their efficiency through Group structures while maintaining their independence and local focus. Caja Rural de Navarra offers a wide range of services through its "Ruralvia" app, available on computer, table and smartphone. ruralvía Digital customers in CRN²: 31.86% of individuals 89.12% of legal persons 15#162. OPERATIVE ENVIRONMENT Nature Reserve of Larra-Belagua#17110 100 90 80 70 60 50 40 CAJA RURAL DE NAVARRA OPERATIVE ENVIRONMENT - SPAIN 30% 25% 20% 15% 10% 5% 0% 2001 2002 UNEMPLOYMENT 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 CONSUMER CONFIDENCE INDICATOR Source: INE, CIS. 1 2019 data as of September 2019. 2020 Credit and Sustainability Framework CRN This document should not be distributed in the United States or to U.S. persons as defined in Regulation S of the U.S. Securities Act of 1933, as amended GDP 5% 3% 1% -1% -3% -5% 2001 Positive macro developments trends in Spain. 25 20 15 10 5 0 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 COST PER HOUR WORKED¹ Reforms of labour markets and restructuration of the financial sector. 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 17#180 25 50 125 100 75 CAJA RURAL DE NAVARRA OPERATIVE ENVIRONMENT - SPAIN HOUSEHOLD DEBT: % OF GDP (%) -EU ESP GRE ―ITA POR 150 150 550 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 Source: Institute of International Finance. 2020 Credit and Sustainability Framework CRN 2012 2013 2014 2015 2016 2017 2018 2019 • Private sector leverage in Spain has hugely decreased in the last decade. O 25 50 125 100 75 This document should not be distributed in the United States or to U.S. persons as defined in Regulation S of the U.S. Securities Act of 1933, as amended NON-FINANCIAL CORPORATES DEBT: % OF GDP (%) EU ESP GRE ―ITA -POR 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 18#19CAJA RURAL DE NAVARRA This document should not be distributed in the United States or to U.S. persons as defined in Regulation S of the U.S. Securities Act of 1933, as amended OPERATIVE ENVIRONMENT - NAVARRE AND NAVARRE AND BASQUE COUNTRY EU-28 = 100 <75 COUNTRY REGION GDP ITA 75-90 SWE Nord-Ovest Västverige 120 120 90-100 BEL Vlaams Gewest 120 100 125 ITA 125 <150 Emilia-Romagna 119 ≥ 150 DEU Nordrhein-Westfalen 119 Data not available ESP País Vasco 118 NOR Agder og Rogaland 120 DEU Freiburg 117 DEU Hannover 117 DNK Midtjylland 117 NOR Trondelag 117 FRA Nord-Est 117 DEU Oberfranken 116 SWE Over-Norrland 116 DEU Rheinland-Pfalz 116 AUT Steiermark 116 DEU Detmold 116 BEL Prov. West-Vlaanderen. 115 GBR Bedforshire and Hertfordshire 115 NOR Nord-Norge 114 GBR South East 114 DNK Syddanmark 114 NDL Limburg 114 NDL Südösterreich 113 ESP Comunidad Foral de Navarra 113 DEU Kassel 113 ITA Lazio 112 DEU Niedersachsen 112 SWE Södra Sverige 112 LIT Sostines regionas 112 GDP per capita comparable to other developed European regions and underpinning a much more stable economic environment. Source: Eurostat 2017 data. 2020 Credit and Sustainability Framework CRN 19#20CAJA RURAL DE NAVARRA This document should not be distributed in the United States or to U.S. persons as defined in Regulation S of the U.S. Securities Act of 1933, as amended OPERATIVE ENVIRONMENT - NAVARRE AND BASQUE COUNTRY NOM. GDP/CAPITA BY REGIONS (RELATED TO SPANISH AVERAGE) (4Q18) € 35.000 30.000 25.000 20.000 15.000 10.000 5.000 0 853 UNEMPLOYMENT BY REGIONS (4Q19) 30% 20% 10% 0% 990 (Unemployment rate %) 물 1 2 3 3 3 POVERTY RISK RATE BY REGIONS (4Q18) 40% 30% 20% 10% 0% 3232538 Unemployment is much lower and this pattern is historically stable. Regional unemployment for Navarre and Basque Country stands at around 60% of the Spanish average. • ⚫ GDP per capita is much higher than the national average. A more diverse and open economy ensures higher diversification. • Social indicators (poverty, inequality, ...) are also among the best in Spain. Source: INE 2020 Credit and Sustainability Framework CRN 20#21CAJA RURAL DE NAVARRA This document should not be distributed in the United States or to U.S. persons as defined in Regulation S of the U.S. Securities Act of 1933, as amended OPERATIVE ENVIRONMENT - NAVARRE AND BASQUE COUNTRY 2,0% 1,5% 1,0% 0,5% 0,0% R&D/GDP (4Q18) אוס AST EXT CLM CAN SPAIN: EXPORT AND IMPORT BY REGIONS (4Q18) Exports Imports 50% 40% 30% 20% 10% 0% * * * * 3 3 3 3 • . Navarre and the Basque Country are the most industrialised and export-oriented regions in Spain. • They also are among those with a highest rate of investment in R&D. • This economic environment positively impacts banking performance. Source: INE; Expansión. 2020 Credit and Sustainability Framework CRN 21 21#22CAJA RURAL DE NAVARRA This document should not be distributed in the United States or to U.S. persons as defined in Regulation S of the U.S. Securities Act of 1933, as amended OPERATIVE ENVIRONMENT Standard and Poor's rates the regions of Navarre and Basque Country two notches higher than Spain (AA - Vs A). STANDARD & POOR'S RATINGS SERVICES • CITING FOR NAVARRE: • “Our rating on Navarre can be above that of Spain because we estimate that the region's credit characteristics would make it more resilient than the sovereign in a stress scenario." • “Unique taxing powers, skilled financial management, and a sound economy support Navarre's creditworthiness." "Navarre... has unique taxing powers ... Navarre collects taxes and transfers a portion of them to Spain's central government in compensation for the services it provides in Navarre." • “Navarre's economy is wealthier, more competitive and more export oriented than Spain's." • "We believe Navarre's high fiscal autonomy and sound financial management make it more resilient." Source: Standard & Poor's Global Ratings-Research update (27th September 2019) available at www.navarra.es 2020 Credit and Sustainability Framework CRN 22#233. LIQUIDITY MANAGEMENT Urederra national park#24CAJA RURAL DE NAVARRA LIQUIDITY MANAGEMENT This document should not be distributed in the United States or to U.S. persons as defined in Regulation S of the U.S. Securities Act of 1933, as amended • Retail focus: Loan book growth financed by deposit taking (and SMEs mediation finance by ICO). • CRN maintains a high volume of liquid assets, most of them eligible for monetary operations with ECB. • Despite this strategy, CRN has been active in wholesale markets since 2001: • Domestic Commercial Paper Program. • Schuldscheindarlehen issues (private placements, all matured). • Senior FRN Caja Rural de Navarra 2006 (matured 2011). • Senior Sustainable FRN Caja Rural de Navarra 2017 (maturing 2022). • • • DSeveral SME ABS and RMBSs programs (developed through the Caja Rural Group since 2000). EIB specific issuances. • SME & Midcaps. SME & climate action. Public Issued Covered Bonds. . • 2013 Issue (matured 2018). • 2015 Issue (maturing 2022). • 2016 Sustainable Issue (maturing 2023). • 2018 Sustainable Issue (maturing 2025). Retained Covered Bond. . • 2018 Issue (maturing 2025). Covered Bond Private Placement in 2014 (maturing 2029). Source: Caja Rural de Navarra. 2020 Credit and Sustainability Framework CRN 24#25CAJA RURAL DE NAVARRA This document should not be distributed in the United States or to U.S. persons as defined in Regulation S of the U.S. Securities Act of 1933, as amended LIQUIDITY MANAGEMENT The strategy has focused on diversifying liquidity sources and tapping different options, but this has never led to a change in a very conservative liquidity profile, which remains firmly based on a very stable deposit base. with no wholesale market dependence. • "Stable retail deposit base and low reliance on wholesale funding" (Moody's Credit Opinion Oct 2019). CRN aims at issuing Covered Bonds in order to follow its strategy of diversifying its funding base and tapping growth opportunities in its retail banking business. • • CRN's Cédulas Hipotecarias (Mortgage Covered Bonds) are now rated Aal by Moody's. CRN's Covered Bonds in the secondary market have shown a solid trend consistent with its credit quality. Pamplona Castle Square 2020 Credit and Sustainability Framework CRN DE 25#264. SUSTAINABILITY BOND FRAMEWORK AND EESG SEAL Tunnels in Irurzun#27CAJA RURAL DE NAVARRA SUSTAINABILITY BOND FRAMEWORK A bank committed to Sustainability The SUSTAINABLE DEVELOPMENT GOALS Green Bond Principles Energy Efficient Mortgages Initiative The This document should not be distributed in the United States or to U.S. persons as defined in Regulation S of the U.S. Securities Act of 1933, as amended As a cooperative, retail and regional financial institution, Caja Rural de Navarra is highly committed to a long-term engagement with its stakeholders. Social Bond Principles • CRN is engaged with ESG agencies in an ongoing process of transparency. COVERED BOND LABEL- Energy Efficiency Financial Institutions Group • Further steps are envisaged, among them the publication of an specific ESG (Corporate Responsibility) annual report¹. DZ BANK SUSTAINALYTICS SEAL OF QUALITY FOR SUSTAINABILITY Caja Rural de Navarra Source: 1- CRN Corporate Social Responsibility Report. 4/2018 Dialogue and active participation in international initiatives within the "Sustainable Finance" development. 27#28CAJA RURAL DE NAVARRA This document should not be distributed in the United States or to U.S. persons as defined in Regulation S of the U.S. Securities Act of 1933, as amended SUSTAINABILITY BOND FRAMEWORK A bank committed to Sustainability • The Corporate Social Responsibility Code of Conduct is a guide integrated in Caja Rural de Navarra and its employees' behaviour towards its social and economic environment, as a retail, regional and cooperative bank. •The main goal is to apply some principles and duties that guide CRN and its employees' activities, with a long-term strategy view. Mission Generate a sustainable confidence in our clients + Involving clients through CRN's personnel Development of the Entity's socio-economic environment Values Commitment: involve employees/clients/environment in a common project. Responsibility/professionalism: improve every day to achieve our common goals. Proximity and confidence: human touch and solidarity. Vision Maintain and reinforce the relevant retail franchise of CRN and the Spanish cooperative Caja Rural Group Within CRN's business culture (human quality/personal service/professionalteam /modernity. 28#29CAJA RURAL DE NAVARRA This document should not be distributed in the United States or to U.S. persons as defined in Regulation S of the U.S. Securities Act of 1933, as amended SUSTAINABILITY BOND FRAMEWORK ESG Risk Rating • The whole organisation is subject to Environmental, Social and Governance (ESG) standards that determine the focus, targets and policies of the Bank regarding different aspects of sustainability. • The ESG rating awarded to Caja Rural de Navarra by Second-Party Opinion provider Sustainalytics ranks the Bank among the best performers in the financial sector. Source: 1 - ESG Risk Rating Report SUSTAINALYTICS SUSTAINALYTICS ESG RISK RATING REPORT Caja Rural de Navarra, Sociedad Cooperativa de Crédito Regional Banks | Spain | 16.3 Low Risk Date Dec 17, 2019 Negl Low Med 0-10 10-20 20-30 High 30-40 Severe 40+ Rating Overview The company is at low risk of experiencing material financial impacts from ESG factors, due to its low exposure and strong management of material ESG issues. The company is not publicly held, which reduces its corporate governance risk compared to its peers. However, the company has a moderate level of controversies. Momentum Score Not available due to a lack of comparable historical information ESG Risk Rating Distribution 1% 1% 0% Negligible 18% 7% 2% Low 48% 68% Relative Performance Rank Percentile (1st = lowest risk) (1st lowest risk) Global Universe 1050 out of 12275 9th 36% 29% 27% Banks (Industry Group) 43 out of 941 5th 21% 18% 14% 9% Regional Banks (Subindustry) 3 out of 389 2nd Medium High Severe 29#30CAJA RURAL DE NAVARRA SUSTAINABILITY BOND FRAMEWORK Overview Caja Rural de Navarra´s Sustainable Covered Bond at a glance: This document should not be distributed in the United States or to U.S. persons as defined in Regulation S of the U.S. Securities Act of 1933, as amended Public Sustainability Bond Framework that is fully compliant with the ICMA's Sustainability Bond Guidelines and the Green Bond Principles 2018, Social Bond Principles 2018 and Sustainability Bond Guidelines 2018. The The Green Bond Principles Social Bond Principles ⚫High quality second party opinion provided by Sustainalytics². SUSTAINALYTICS •High quality sustainable asset pool has been identified, with a simple structure and with an additional information provided to investors (use of proceeds on the pool), as well as a regular audited annual impact reporting³ of the Sustainable Bond as part of the Issuer's annual audited report. A transparent and robust project evaluation and selection process including several categories with clear eligibility criteria and additional exclusionary criteria. Previous Sustainable Bond issuances, targeting SRI investors: • CRUNAV 0.625 12/01/23 • • CRUNAV Float 06/21/22 • CRUNAV 0.875 05/08/25 Caja Rural de Navarra is committed to improve its sustainable framework since its inception, and as such, 'Building Energy Efficiency' has been added as a new criterion. Source: 1- Sustainability Bond Framework. 2 - Second Party Opinion (Sustainalytics). 3 Sustainability Impact Report. 2020 Credit and Sustainability Framework CRN 30#31CAJA RURAL DE NAVARRA SUSTAINABILITY BOND FRAMEWORK Overview This document should not be distributed in the United States or to U.S. persons as defined in Regulation S of the U.S. Securities Act of 1933, as amended Caja Rural de Navarra´s Sustainable Covered Bond is a regular covered bond that follows the guidance provided by ICMA's Green Bond Principles 2018, Social Bond Principals 2018 and 2018 Sustainability Bond Guidelines: Legal Status ⚫ CRN Sustainable Covered Bonds' investors have the same level of protection, as Cédulas Hipotecarias (CH) investors. • Same legal framework applies (claims against the entire cover pool). Project Evaluation and Selection Process Use of Proceeds • Allocated towards lending to projects or activities aligned with CRN's internal sustainability principles and Sustainability Bond Framework. • The projects or activities to be funded must meet CRN's Sustainability criteria. Management of Proceeds Eligible Projects Categories Sustainable agriculture. • Renewable energy. • Energy efficiency. • Sustainable forest management. • Waste management.. •Affordable housing. • Education. • Social and economic inclusion. Reporting • Financial viability of the loans financed through the proceeds evaluated by the Credit Risk department. • Alignment with the sustainability eligibility criteria is assessed by the Sustainability Committee. 100% of bond proceeds to be allocated to eligible projects or activities at the time of issuance. • Sufficient number of existing loans to utilize the entire proceeds of the sustainable bond. • Annual disclosure of the allocated proceeds to each eligible category outlined in the framework. CRN's annual report will be audited by an external auditor. Assurance • Sustainalytics second party opinion and CRN's audited annual report which includes reporting on the Sustainable Bond. Source: 1- Sustainability Bond Framework. 2- Annual Report. 2020 Credit and Sustainability Framework CRN 31#32CAJA RURAL DE NAVARRA SUSTAINABILITY BOND FRAMEWORK Second Opinion This document should not be distributed in the United States or to U.S. persons as defined in Regulation S of the U.S. Securities Act of 1933, as amended Sustainalytics is an independent provider of sustainability research, analysis, and services to investors. Sustainalytics has provided a second opinion on Caja Rural de Navarra's sustainability bond issuance and the bond's environmental and social credentials. The following statements are an extract from Sustainalytics Bond Framework and Opinion. Alignment with best practices SUSTAINALYTICS "Sustainalytics is of the opinion... that the Caja Rural de Navarra's Sustainability Bond Framework aligns with the four core components of the Green Bond Principles 2018, Social Bond Principles 2018 and Sustainability Bond Guidelines 2018". • "Sustainalytics believes that... the use of proceeds categories will contribute to the advancement of the UN Sustainable Development Goals.." Track record and Framework robustness . "Sustainalytics is of the opinion that CRN demonstrates a strong commitment to sustainability with a focus on growing its sustainable lending lines". • "Sustainalytics believes that Caja Rural de Navarra Sustainability Bond Framework is aligned with the Bank's overall sustainability strategy and initiatives of the Company..." "Sustainalytics is confident that... Caja Rural de Navarra Sustainability Bond Framework is robust, transparent...". Sustainability commitments • "Sustainalytics recognizes the Issuer's commitment to robust and transparent reporting on positive outcomes achieved by its financing activities." • "Both the allocation proceeds and impact reporting will be third-party verified. Based on these elements, Sustainalytics considers this process to be in line with market best practices." " • "... CRN is committed to Do No Significant Harm Criteria as outlined by the EU draft taxonomy. Based on these policies, standards and assessments, Sustainalytics is of the opinion that CRN has implemented adequate measures and is well positioned to manage and mitigate environmental and social risks commonly associated with the eligible categories". Source: 1- Second Party Opinion (Sustainalytics). 2020 Credit and Sustainability Framework CRN 32#33CAJA RURAL DE NAVARRA This document should not be distributed in the United States or to U.S. persons as defined in Regulation S of the U.S. Securities Act of 1933, as amended SUSTAINABILITY BOND FRAMEWORK Sustainable Development Goals (SDG) The Sustainable Development Goals (SDGs) were set in September 2015 and form an agenda for achieveing sustainable delopment by the year 2030. CRN' framework advances the following SDG goals and targets: SUSTAINABLE DEVELOPMENT GOALS 10 4 QUALITY EDUCATION Education • REDUCED INEQUALITIES 11 • Social inclusion Source: 1 - Sustainable Development Goals Webpage. 2020 Credit and Sustainability Framework CRN SUSTAINABLE CITIES AND COMMUNITIES • ⚫ Affordable housing 7 AFFORDABLE AND CLEAN ENERGY 8 DECENT WORTH ECONOMIC GROWTH Renewable energy • Energy efficiency 12 RESPONSIBLE CONSUMPTION AND PRODUCTION QO • Sustainable agriculture • Waste management • Economic inclusion LIFE 15 ON LAND •Sustainable forest management 33#34CAJA RURAL DE NAVARRA This document should not be distributed in the United States or to U.S. persons as defined in Regulation S of the U.S. Securities Act of 1933, as amended SUSTAINABILITY BOND FRAMEWORK EESG Seal by DZ Bank The Sustainability Rating of DZ BANK Sustainable Investment Research is based on an integrated analysis methodology which goes beyond the classical ESG perspective: DZ BANK SEAL OF QUALITY FOR SUSTAINABILITY Caja Rural de Navarra 4/2018 "EESG": Sustainability is an investment issue. Hence the economic dimension of sustainability ("E") is included in the analysis. • Impact: The environmental, social and long- term economic impacts of products and services are included in the sustainability assessment of an issuer. • Independent: DZ BANK Research is organized as a division, reporting directly to the Board of Managing Directors and does not report to Capital Markets, which allows it to provide objective advice in the interests of a long-term customer relationship. 2020 Credit and Sustainability Framework CRN Windmills for renewable electric energy production 34#35CAJA RURAL DE NAVARRA This document should not be distributed in the United States or to U.S. persons as defined in Regulation S of the U.S. Securities Act of 1933, as amended SUSTAINABILITY BOND FRAMEWORK Energy efficiency new criterion: Building Energy Efficiency Caja Rural de Navarra included in December 2017 a new criterion to the Energy Efficiency Category: Building Energy Efficiency. • The new eligibility criterion will be to focus on its lending activities in either financing new buildings that must be among the 15% most energy efficient, or financing an appropriate upgrade that improves the buildings energy efficiency by 30% in the existing stock of buildings. • The eligibilty will be analysed through EPC energy labels, compulsory from 1st June 2013. The most energy efficient includes "A" and "B" categories, while the retroffiting will include final EPC or "A", "B" and "C". B D E F G • “CRN loans financing to energy efficient buildings and retrofitting can therefore contribute to the improvement of the Spanish residential buildings stock energy efficiency" (Sustainalytics). 1 Data as of 31st December 2019. 2020 Credit and Sustainability Framework CRN YEAR OF ORIGINATION IN CRN'S COVER POOL¹ 23,48% 25% 20% 15,10% 15% 12,13% 9,76% 10% 6,14% 5,92% 5,04% 3,73% 5,06% 6,13% 7,52% 5% 0% PRE 2010 2011 2012 2013 2014 2015 2016 2010 2017 2018 2019 35#36CAJA RURAL DE NAVARRA SUSTAINABILITY BOND FRAMEWORK EeMAP initiative This document should not be distributed in the United States or to U.S. persons as defined in Regulation S of the U.S. Securities Act of 1933, as amended The EEMI (Energy Efficient Mortgage Initiative) aims to create a standardised “energy efficient mortgage”, according to which building owners are incentivised to improve the energy efficiency of their buildings or acquire an already energy efficient property by way of preferential financing conditions linked to the mortgage. • Energy Efficient Mortgages Initiative This project has received funding from the European Union's Horizon 2020 research and innovation programme under grant agreement No 746205 The EeMI is designed on the premise that the banking industry has the potential to play a game changing role in supporting the EU in meeting its EU energy savings targets. • • Assumptions: • Energy efficiency improvement of a property has a positive impact on property value, reducing a bank's asset risk. Energy efficient borrowers have a lower probability of default as a result of more disposable income in the household due to lower energy bills, reducing a bank's credit risk. Caja Rural de Navarra works together with other European financial institutions in the Banking and Finance Committee in the cross-sectorial consultation. Principles, valuation guidelines and building performance assessment guidelines have been drafted and are under consultation. • On December 2018 the EEMI launched a high-level, principles-based definition of the Energy Efficiency Mortgage (EEM). Source: Energy efficient mortgages initiative (EEMI). 2020 Credit and Sustainability Framework CRN 36#37CAJA RURAL DE NAVARRA This document should not be distributed in the United States or to U.S. persons as defined in Regulation S of the U.S. Securities Act of 1933, as amended SUSTAINABILITY BOND FRAMEWORK Impact report CRN publishes on an annual basis (by June) a detailed impact report assessment covering all the sustainability categories. • Key Performance Indicators (KPI) encompass a broad range of impact measurements well beyond those committed in CRN's Sustainability Framework and Second-Party Opinion by Sustainalitycs. Examples of impact assessment indicators included in this annual report are: • • • • Sustainable agriculture: • Number of farmers granted with a green/sustainable label. Affordable housing: Personal circumstances: breakdown by age, number of children and average family income. Local impact: distribution by size of town of domicile. • Social inclusion¹: • Disability: number of beneficiaries. • Sport and culture: number of institutions and participants involved. Social Exclusion: number of associations and covered population. • Social and health care. Economic inclusion²: LOAN PORTFOLIO IMPACT REPORT 2019 CAJA RURAL DE MANTRA • SMEs by size, turnover and sector. Loan performance status. • Number of workers. Sustainability Impact Report Social inclusion: development of cultural facilities and job training for socially/economically marginalized groups, youth, unemployed or physically or mentally disabled populations, improvement of teaching and use of regional or minority languages. Economic inclusion: provision of microfinance loans to increase financial inclusion and micro enterprise financing. Lending to micro-entrepreneurs and SMEs. 2020 Credit and Sustainability Framework CRN 37#38CAJA RURAL DE NAVARRA This document should not be distributed in the United States or to U.S. persons as defined in Regulation S of the U.S. Securities Act of 1933, as amended SUSTAINABILITY BOND FRAMEWORK Use of Proceeds The proceeds of the Sustainability Bond will be allocated towards existing or new lending projects or activities that meet one or more of the following eligibility criteria: SUSTAINABLE PROJECTS / ACTIVITIES Sustainable agriculture Renewable energy Energy efficiency Sustainable forest management Waste management Affordable housing Social inclusion¹ Education Economic inclusion² CURRENT SUSTAINABLE PORTFOLIO 15 LIFE ON LAND €134,713,693 12 CONSUMPTION RESPONSIBLE AND PRODUCTION €40,569,768 0.04% €463,735,384 5.01% €1,298,688 €22,889,927 11 SUSTAINABLE CITIES AND COMMUNITIES €628,560,132 €50,888,474 19.99% €24,028,003 €1,777,932,762 10 REDMICED INEQUALITIES €3,144,616,830.92 1.62% QUALITY EDUCATION Mi 0.76% AFFORDABLE AND CLEAN ENERGY 16.04% DECENT WORK AND 8 ECONOMIC GROWTH M 56.54% Social inclusion: development of cultural facilities and job training for socially/economically marginalized groups, youth, unemployed or physically or mentally disabled populations, improvement of teaching and use of regional or minority languages. Economic inclusion: provision of microfinance loans to increase financial inclusion and micro enterprise financing. Lending to micro-entrepreneurs and SMEs. 2020 Credit and Sustainability Framework CRN 38#39CAJA RURAL DE NAVARRA SUSTAINABILITY BOND FRAMEWORK Use of Proceeds This document should not be distributed in the United States or to U.S. persons as defined in Regulation S of the U.S. Securities Act of 1933, as amended Social inclusion: Ecointegra enterprise • Created by ASPACE Navarra (association of cerebral palsy care). • CRN has financed its facilities, where 90% of the 40 employees are disabled. • Moreover, its activity focuses on recycling household electrical appliances. Environment certificate ISO 14001:2004. 0 2020 Credit and Sustainability Framework CRN Unión Europea Fondo Social Europeo "El FSE invierte en tu futuro" 39 Aspace - Ecointegra#40CAJA RURAL DE NAVARRA SUSTAINABILITY BOND FRAMEWORK Waste management: trasa (Tratamiento Subproductos Agroalimentarios S.L.) • CRN has financed facilities for treatment and valorization of agri-food by-products. • The firm was awarded as "Innovative SME" in 2018 by the Spanish Minister of Economy and Competitiveness. This project was co-financed with the ERDF (European Regional Development Fund) through 2014-2020 FEDER funds. 2020 Credit and Sustainability Framework CRN Use of Proceeds This document should not be distributed in the United States or to U.S. persons as defined in Regulation S of the U.S. Securities Act of 1933, as amended FEDER Funin Eupen Deramola Regional UNIÓN EUROPEA "Una manera de hacer Europa" PYHENNOVADORA trasa Tratamiento Subproductos Agroalimentarios sl 40 trasa#415. COVER BOND LABEL Castle of Olite B COVERED BOND LABEL-#42CAJA RURAL DE NAVARRA This document should not be distributed in the United States or to U.S. persons as defined in Regulation S of the U.S. Securities Act of 1933, as amended COVER POOL Covered Bond Label A Covered Bond Labelled sustainable covered bond is a covered bond that is fully compliant with the Covered Bond Label Convention, and also includes a formal commitment by the issuer to use an amount equivalent to the proceeds of that same covered bond to (re)finance loans in clearly defined environmental (green), social or a combination of environmental and social (sustainable) criteria. EMF EUROPEAN MORTGAGE FEDERATION B COVERED BOND LABEL. "Covered Bond Labelled sustainable covered bond programs" are based on their issuer's sustainable bond framework which has been verified by an independent external assessment. The issuer strives, on a best efforts basis, to replace eligible assets that have matured or are redeemed before the maturity of the bond by other eligible assets. BOND LISTS: Caja Rural de Navarra, Credit Coopetarive ISIN Initial Pool Date Identifier of Maturity Date Face value¹ Coupon Syn. Listed Tapped Mat. EEA3 LCR4 Issuance ES0415306077 Covered Bo... 27/11/2018 27/11/2025 EUR300,000,000 Fixed Yes No NO No HB Yes 2A ES0415306069 Covered 08/05/2018 08/05/2025 EUR500,000,000 Fixed Yes Yes No HB Yes 1 ES0415306051 Bo... Covered Bo... 01/12/2016 01/12/2023 EUR500,000,000 Fixed Yes Yes No HB Yes 1 ES0415306036 Covered Bo... 16/03/2015 16/03/2022 EUR 500,000,000 Fixed Yes Yes No NO HB Yes 1 ES0415306028 Covered Bo... 07/02/2014 07/02/2029 EUR 50,000,000 Fixed No Yes No HB Yes N/A 2020 Credit and Sustainability Framework CRN Covered bond label - CRN 42#43CAJA RURAL DE NAVARRA COVER POOL Mortgage Portfolio Overview Total mortgage cover pool Substitution Assets Outstanding covered bonds Total overcollateralization (%) Central Bank eligible covered bonds Fixed rate covered bonds (%) Number of loans Number of debtors Average loan size Average LTV (%) Average seasoning (months) Average remaining maturity (years) Average rate (%) 90+ days arrears (cover pool) 90+ days arrears (residential cover pool) Floating rate loans (%) Loans in Euros (%) Note: Cut-off date: 31st March 2020. 2020 Credit and Sustainability Framework CRN This document should not be distributed in the United States or to U.S. persons as defined in Regulation S of the U.S. Securities Act of 1933, as amended €4.834bn € 0m €1,850m 161.27% €1,850m 100.0% 45,290 66,204 €106,723 59.18% 74.04 19.30 1.28% 1.31% 0.86% 90.14% 100.00% 43#44CAJA RURAL DE NAVARRA COVER POOL Residential and Commercial Mortgage Portfolio Total amount (Million of euro) Number of loans Number of borrowers Average loan balance Interest only loans WA LTV (%) WA Seasoning (months) WA Remaining Maturity (years) WA Rate (%) Floating Rate loans (%) Arrears >90 days (%) 10 largest exposures (%) Navarre Basque Country La Rioja RESIDENTIAL GEOGRAPHICAL DISTRIBUTION Other Spanish regions Note: Cut-off date: 31st March 2020. 1 Current Loan Balance calculated on a WA basis. 2020 Credit and Sustainability Framework CRN This document should not be distributed in the United States or to U.S. persons as defined in Regulation S of the U.S. Securities Act of 1933, as amended COMMERCIAL €3,679 Total amount (Million of euro) €1,155 39,452 Number of loans 5,838 61,012 Number of borrowers 5,192 €93,245 Average loan balance €197,803 0.27% Interest only loans 1.62% 57.90% WA LTV (%) 63.27% 79.58 WA Seasoning (months) 56.40 22.01 WA Remaining Maturity (years) 10.66 1.10% WA Rate (%) 1.83% 90.91% Floating Rate loans (%) 87.69% 0.86% Arrears >90 days (%) 2.73% 0.29% 10 largest exposures (%) 8.30% GEOGRAPHICAL DISTRIBUTION 46.45% 43.82% Navarre Basque Country 7.44% La Rioja 2.29% Other Spanish regions 45.50% 40.55% 10.25% 3.70% 44#45CAJA RURAL DE NAVARRA COVER POOL Outstanding Covered Bonds This document should not be distributed in the United States or to U.S. persons as defined in Regulation S of the U.S. Securities Act of 1933, as amended COVERED BONDS ES0415306036 500M Public issue Fixed rate 16-03-2022 EUR Aal ES0415306051 500M Public issue Fixed rate 01-12-2023 EUR Aal ES0415306069 500M Public issue Fixed rate 08-05-2025 EUR Aal ES0415306077 300M Retained issue Fixed rate 27-11-2025 EUR Aal ES0415306028 50M Private Placement Fixed rate 07-02-2029 EUR Aal MATURITY STRUCTURE¹ (%) 60% 45,95% 50% 49,47% 40% 27,03% 27,03% 29,98% 30% 20% 9,31% 10% 1,46% 2,47% 1,73% 0,92% 3,75% 0,90% 0% 0-1Y 1-2Y 2-3Y ■Cover Assets 3-4Y 4-5Y 5-10Y 10-20Y ●Covered Bonds 20-30Y 30+Y Note: Cut-off date: 31st March 2020. 1 Cover Assets maturity calculated on a final maturity basis. 2020 Credit and Sustainability Framework CRN 45#46CAJA RURAL DE NAVARRA COVER POOL Total Mortgage Portfolio BREAKDOWN BY CURRENT LOAN BALANCE¹ This document should not be distributed in the United States or to U.S. persons as defined in Regulation S of the U.S. Securities Act of 1933, as amended BREAKDOWN BY LOAN SEASONING >1,000,000 8,71% 40% 35,94% 500,000-1,000,000 3,85% 35% 30% 300,000-500,000 5,59% 25% 200,000-300,000 11,20% 20% 150,000-200,000 14,32% 14,83% 14,43% 13,61% 15% 100,000-150,000 11,18% 26,80% 10,01% 10% 50,000-100,000 23,00% 5% <50,000 6,53% 0% <12 12-24 24-36 36-60 60-96 >96 0% 5% 10% 15% 20% 25% 30% GEOGRAPHICAL DISTRIBUTION Other Spanish Regions 2,63% La Rioja 8,11% Basque Country Navarre 43,04% 46,22% 0% 10% 20% 30% 40% 50% Note: Cut-off date: 31st March 2020. 1 Current Loan Balance calculated on a WA basis. 2020 Credit and Sustainability Framework CRN REFERENCE RATE Fixed 9,86% Floating 90,14% 46#47CAJA RURAL DE NAVARRA COVER POOL Residential Mortgage Portfolio RESIDENTIAL-BREAKDOWN BY LOAN SIZE¹ >1,000,000 0,08% 500,000-1,000,000 0,61% 300,000-500,000 3,71% 200,000-300,000 11,49% 150,000-200,000 16,67% 100,000-150,000 50,000-100,000 32,55% 27,47% <50,000 7,42% 0% 5% 10% 15% 20% 25% 30% 35% 25% 20,73% This document should not be distributed in the United States or to U.S. persons as defined in Regulation S of the U.S. Securities Act of 1933, as amended RESIDENTIAL-BREAKDOWN BY PROPERTY TYPE RESIDENTIAL-BREAKDOWN BY LTV 2nd residence 3,37% Others 2,36% 1st residence 94,26% 20% 15% 10% 5% 13,37% 16,38% 18,63% 18,52% Iull. 5,14% 3,16% 1,68% 0,85% 1,34% 0,20% 0% 0-40% 40%-50% 50%-60% 60%-70% 70%-80% 80%-85% 85%-90% 90%-95% 95%-100% 100%-105% >105% Note: Cut-off date: 31st March 2020. 1 Current Loan Balance calculated on a WA basis. 2020 Credit and Sustainability Framework CRN 47#48CAJA RURAL DE NAVARRA COVER POOL Commercial Mortgage Portfolio COMMERCIAL-BREAKDOWN BY LOAN SIZE¹ This document should not be distributed in the United States or to U.S. persons as defined in Regulation S of the U.S. Securities Act of 1933, as amended COMMERCIAL-BREAKDOWN BY PROPERTY TYPE >2,000,000 1,000,000-2,000,000 500,000-1,000,000 21,95% 30% 14,23% 25% 27,59% 23,40% 14,17% 19,95% 20% 300,000-500,000 11,61% 17,07% 200,000-300,000 10,26% 15% 150,000-200,000 6,83% 10% 8,36% 100,000-150,000 8,50% 5% 50,000-100,000 8,77% 1,79% 1,83% <50,000 3,70% 0% 0% 5% 10% 15% 20% 25% Retail Property Industry Others2 Agriculture Office developers Hotel/ tourism COMMERCIAL-BREAKDOWN BY LTV 35% 30,51% 30% 25% 21,14% 20% 15% 10,16% 10,42% 10,73% 10% 7,73% 5% 2,51% 1,68% 1,93% 1,72% 1,48% 0% 0-40% 40%-50% 50%-60% 60%-70% 70%-80% 80%-85% 85%-90% 90%-95% 95%-100% 100%-105% >105% Note: Cut-off date: 31st March 2020.. 1 Current Loan Balance calculated on a WA basis. 2 "Others" category includes housing. 2020 Credit and Sustainability Framework CRN 48#49CAJA RURAL DE NAVARRA ANALYSIS 6,000,000,000 5,000,000,000 4,000,000,000 3,000,000,000 2,000,000,000 1,000,000,000 MORTGAGE COVER POOL dic-15 jun-16 dic-16 jun-17 dic-17 jun-18 Total - Commercial 2020 Credit and Sustainability Framework CRN dic-18 jun-19 dic-19 Residential ......Outstanding Covered Bonds NPL 80 60 40 20 20 This document should not be distributed in the United States or to U.S. persons as defined in Regulation S of the U.S. Securities Act of 1933, as amended LTV 0 dic-15 jun-16 dic-16 jun-17 dic-17 jun-18 dic-18 jun-19 dic-19 Total Residential - Commercial 7,00% 6,00% 5,00% 4,00% 3,00% 2,00% 1,00% 0,00% mar-16 sep-16 mar-17 sep-17 mar-18 Total Residential sep-18 Commercial mar-19 sep-19 mar-20 49#50CAJA RURAL DE NAVARRA ANALYSIS 2020 Credit and Sustainability Framework CRN AVERAGE INTEREST RATE This document should not be distributed in the United States or to U.S. persons as defined in Regulation S of the U.S. Securities Act of 1933, as amended 3.00% 2.50% 2.00% 1.50% 1.00% 0.50% 0.00% dic-15 jun-16 dic-16 jun-17 dic-17 jun-18 dic-18 jun-19 dic-19 -Total Residential Commercial 100% 80% 60% 40% 20% 0% dic-15 INTEREST RATE (TOTAL MORTGAGE PORTFOLIO) mar-16 jun-16 sep-16 dic-16 mar-17 jun-17 sep-17 dic-17 mar-18 Variable Fixed jun-18 sep-18 dic-18 mar-19 jun-19 sep-19 dic-19 mar-20 50 50#51BENGA 6. CAJA RURAL GROUP SERORGA SEGUROERGA SERGA Caja Rural cycling team#52CAJA RURAL DE NAVARRA This document should not be distributed in the United States or to U.S. persons as defined in Regulation S of the U.S. Securities Act of 1933, as amended CAJA RURAL GROUP Main Features • The Group is the result of the will of the Spanish regional co-operative banks to join forces and obtain synergies and economies of scales, while remaining independent financial institutions. Different business strategy to that developed in the past by other Spanish financial institutions: local focused, no capital markets dependence, no aggressive expansion. All members enjoy a relevant market share in their home regions and develop a similar business model adapted to the diverse features of each area. • Total assets of €67.1 billion and €5.4 billion of equity. • 8,434 employees. 2,314 branches and a wide presence in the different Spanish regions. More than €6.5 million clients and more than 1.5 million co-operative members. The medieval castle of Artajona 62 52#53CAJA RURAL DE NAVARRA This document should not be distributed in the United States or to U.S. persons as defined in Regulation S of the U.S. Securities Act of 1933, as amended CAJA RURAL GROUP Main Features The Group has became in 2018 an Institutional Protection Scheme (IPS) following the requirements established in article 113.7 of Regulation (EU) No. 575 / 2013 (CRR). • Therefore, the 29 cooperative members of the Spanish Association of Rural Banks (AECR), together with their central banking institution (Banco Cooperativo Español SA) operate as an IPS with regulatory recognition, and maintain their longstanding model of pooling resources at a national level to obtain economies of scale while retaining their independence and regional focus. No material impact in the solvency ratios of Caja Rural de Navarra is foreseen regarding the creation of the IPS. The Alcala Door of Madrid GE GA ANNO MCELVYV 53#54CAJA RURAL DE NAVARRA CAJA RURAL GROUP Group Institutions RSI 100% This document should not be distributed in the United States or to U.S. persons as defined in Regulation S of the U.S. Securities Act of 1933, as amended GRUPO CAJA RURAL 88% 100% SEGUROS RGA DZ BANK 12% BANCO COPERATIVO ESPAÑOL 54#55CAJA RURAL DE NAVARRA This document should not be distributed in the United States or to U.S. persons as defined in Regulation S of the U.S. Securities Act of 1933, as amended CAJA RURAL GROUP Group Institutions Banco Cooperativo Español • • . •Central treasurer for Group members. Access point to markets: Interbank, Fixed Income, Derivatives, RMBS issues... • Custody and payment services. Asset manager and Private Banking. Syndicated loans. • Leasing/Renting. • International relations (UNICO banking group). . Asset and Liabilities analysis and management tools. ECB Collateral management. Rural Servicios Informáticos (RSI) – IT service provider. Rural Grupo Asegurador (RGA) - Insurance, Pension funds... • Espiga Capital - Private equity. Asociación Española de Cajas Rurales (AECR) - Strategic Decision and management of the Caja Rural Group. 55#56CAJA RURAL DE NAVARRA ANNEX-LINK ATTACHMENTS Page 22 27 29 30 30 30 30 30 30 31 31 32 33 36 37 39 39 40 42 Link description S&P: Research report: Autonomous Community of Navarre 1 - CRN Corporate Social Responsibility Report 1- ESG Risk Rating Report CRUNAV 0,625 12/01/23 CRUNAV Float 06/21/22 CRUNAV 0.875 05/08/25 1- Sustainability Bond Framework 2- Second Party Opinion (Sustainalytics) 3 Sustainability Impact Report 1 - Sustainability Bond Framework 2- Annual Report 1 - Second Party Opinion (Sustainalytics) 1 - Sustainable Development Goals Webpage Energy efficient mortgages initiative (EEMI) Sustainability Impact Report Aspace Ecointegra Ecointegra Video trasa Covered bond label - CRN This document should not be distributed in the United States or to U.S. persons as defined in Regulation S of the U.S. Securities Act of 1933, as amended LINK ATTACHMENTS Link https://www.navarra.es https://www.cajaruraldenavarra.com/sites/default/files/MEMORIA-RSC-Caja-Rural-de-Navarra-2019-BJ-EN.pdf https://www.cajaruraldenavarra.com/sites/default/files/2020-04/CRN_Risk Ratings Report_2020.pdf https://hypo.org/emf/press-release/covered-bond-label-enhances-transparency-sustainable-finance-caja-rural-de-navarra-receives-110th-label/ https://sustainabonds.com/crn-reinforces-sustainable-shift-gets-label-senior-debut/ https://sustainabonds.com/spain-positives-lift-enhanced-crn-sustainable-cedulas-to-heights/ https://www.cajaruraldenavarra.com/sites/default/files/202003-CRN-sustainability-bond-framework.pdf http://www.cajaruraldenavarra.com/sites/default/files/2020-04/202003-SPO-Sustainalytics-Caja-Rural-Navarra.pdf https://www.cajaruraldenavarra.com/sites/default/files/2019-Loan-porfolio-impact-report_0.pdf https://www.cajaruraldenavarra.com/sites/default/files/202003-CRN-sustainability-bond-framework.pdf https://www.cajaruraldenavarra.com/sites/default/files/2019-Annual-Report-Caja RuraldeNavarra.pdf http://www.cajaruraldenavarra.com/sites/default/files/2020-04/202003-SPO-Sustainalytics-Caja-Rural-Navarra.pdf http://www.un.org/sustainabledevelopment/sustainable-development-goals/ https://energyefficientmortgages.eu/ https://www.cajaruraldenavarra.com/sites/default/files/2019-Loan-porfolio-impact-report_0.pdf https://www.aspacenavarra.org/planta-de-tratamiento-de-raees-ecointegra-aoiz https://www.youtube.com/watch?v=OWwjpxDqfXA http://www.trasa.es https://www.covered bondlabel.com/issuer/147/ 56#57CAJA RURAL DE NAVARRA CONTACTS Headquarters Caja Rural de Navarra Plaza de los Fueros, 1 31003 Pamplona Navarre Spain Tel: +34 948 168 100 www.cajaruraldenavarra.com Investor Relations: [email protected] This document should not be distributed in the United States or to U.S. persons as defined in Regulation S of the U.S. Securities Act of 1933, as amended Miguel García de Eulate Martín-Moro Head of Treasury and Capital Markets department Tel: +34 948 168 198 Fax: +34 948 244 557 E-mail: [email protected] Leire Trojaola Crucelaegui Investor Relations Tel: +34 948 168 281 Fax: +34 948 244 557 E-mail: [email protected] 57#58CAJA RURAL DE NAVARRA DISCLAIMER This document should not be distributed in the United States or to U.S. persons as defined in Regulation S of the U.S. Securities Act of 1933, as amended All rights reserved for Caja Rural de Navarra Sdad. Coop. de Crédito. This document was created by Caja Rural de Navarra Sdad. Coop. de Crédito exclusively for the purpose of giving corporate presentation by Caja Rural de Navarra Sdad. Coop. de Crédito. This presentation may only be shown to business customers and institutional clients. This document may not be changed or shared with third parties without the express consent of Caja Rural de Navarra Sdad. Coop. de Crédito. Anyone in possession of this information or document is obliged to learn about the legal regulations governing possession and sharing of such information and comply with those regulations. This presentation may not be shared withtransmitted to any country with laws restricting the sharing or transmission of such information. Caja Rural de Navarra Sdad. Coop. de Crédito is not nor can it be held responsible for the usage, valuations, opinions, expectations or decisions which might be adopted by third parties following the publication of this information. This presentation is exlusively for general information purposes. It does not represent an offer to conclude an agreement on the provision of investment advisory services or the purchase of securities. Where this presentation cites information not originating from Caja Rural de Navarra Sdad. Coop. de Crédito or not produced a its request, such information has been compiled from sources deem trustworthy without being verified. For this reason, Caja Rural de Navarra Sdad. Coop. de Crédito assumes no guaranteee that such information is complete or correct. Caja Rural de Navarra Sdad. Coop. de Crédito assumes no responsibility or liability whatsoever for expenses, losses or damage from or in connection with the use of all or part of the information contained in this presentation. Caja Rural de Navarra Sdad. Coop. de Crédito cautions that this presentation may contain forward looking statements with respect to the business financial condition results of operations, strategy, plans and objectives of the Caja Rural de Navarra Sdad. Coop. de Crédito. While these forward looking statements represent our judgement and future expectations concerning the development of our business, a certain number of risks, uncertainties and other important factors could cause actual developments and results to differ materially from our expectations. These factors include, but are not limited to: (1) general market, Macroeconomic, governmental, political and regulatory trends; (2) movements in local and international securities markets. currency exchange rate and interest rates; (3) competitive pressures; (4) technical developments; (5) changes in the financial position or credit worthiness of our customers, obligors and counterparts. These risk factors could adversely affect our business and financial performance published in our past and future filings and reports. including those with the Spanish Securities and Exchange Commission (Comisión Nacional del Mercado de Valores). 58