| Financial risks | 4 Financial risks General As an insurance group, Aegon is exposed to a variety of risks. Aegon’s largest exposures are to changes in financial markets (e.g. foreign currency, interest rate, credit and equity market risks) that affect the value of the investments, liabilities from products that Aegon sells, deferred expenses and value of business acquired. Other risks include insurance related risks, such as changes in mortality, morbidity, bond credit spread and liquidity premium, which are discussed in note 34 Insurance contracts. Aegon manages risk at local level where business is transacted, based on principles and policies established at the Group level. Aegon’s integrated approach to risk management involves similar measurement of risk and scope of risk coverage to allow for aggregation of the Group’s risk position. To manage the risk from changes in financial markets, Aegon’s products are priced using a market-consistent framework and comprehensive asset liability management (ALM) programs are implemented to ensure that the assets backing policyholder benefits are invested prudently over the long term. A range of ALM techniques are used across the Group. These range in terms of sophistication and complexity from cash-flow matching (for traditional fixed annuities) to duration matching (for the Universal Life range of products) to derivative-based semi-static and dynamic hedges (to match variable annuities). To manage its risk exposure, Aegon has risk policies in place. Many of these policies are group-wide while others are specific to the unique situation of local businesses. For ALM specifically, the Enterprise Risk Management (ERM) framework includes several risk policies that govern ALM strategies, such as the Investment and Counterparty Risk Policy (ICRP). The ICRP governs the management of investment risks associated with credit, equity, property, alternative asset classes, interest rate and currency risk in addition to option markets, implied volatility risk, interest rate options and swaptions. As well as product-level ALM programs, subsidiary businesses are required by the ICRP to maintain overarching entity-level ALM strategies that set the direction and limits for the aggregated product-level programs. Significant or complex ALM strategies are approved at group level, and all programs are subject to Group Risk oversight. Together with the ICRP, which guides ALM strategy, several other ERM policies govern concentration risk, liquidity risk, use of derivatives and securities lending and repos. As Aegon uses derivatives extensively, collateral calls can be significant depending on market circumstances. Liquidity is managed at legal entity level in the first instance with central coordination by Aegon NV. The large US and Dutch units may use external market solutions to match projected liquidity requirements with funding. Next to guidance, the Group level policies also provide limits the to Group’s exposure to major risks such as equity, interest rates, credit, and currency. The limits in these policies in aggregate remain within the Group’s overall tolerance for risk and the Group’s financial resources. Operating within this policy framework, Aegon employs risk management programs including ALM processes and models and hedging programs (which are largely conducted via the use of financial derivative instruments). These risk management programs are in place in each country unit and are not only used to manage risk in each unit, but are also part of the Group’s overall risk strategy. Aegon operates a Derivative Use Policy to govern its usage of derivatives. This policy establishes the control, authorization, execution and monitoring requirements of the usage of such instruments. In addition, the policy stipulates necessary mitigation of credit risk created through derivatives management tools. For derivatives, counterparty credit risk is normally mitigated by requirements to post collateral via credit support annex agreements or through a central clearing house. As part of its risk management programs, Aegon takes inventory of its current risk position across risk categories. Aegon also measures the sensitivity of net result and shareholders’ equity under both deterministic and stochastic scenarios. Management uses the insight gained through these ‘what if?’ scenarios to manage the Group’s risk exposure and capital position. The models, scenarios and assumptions used are reviewed regularly and updated as necessary. Results of Aegon’s sensitivity analyses are presented throughout this section to show the estimated sensitivity of net result and shareholders’ equity to various scenarios. For each type of market risk, the analysis shows how net result and shareholders’ equity would have been affected by changes in the relevant risk variable that were reasonably possible at the reporting date. For each sensitivity test the impact of a reasonably possible change in a single factor is shown. Management action is taken into account to the extent that it is part of Aegon’s regular policies and procedures, such as established hedging programs. However, incidental management actions that would require a change in policies and procedures are not considered. Each sensitivity analysis reflects the extent to which the shock tested would affect management’s critical accounting estimates and judgment in applying Aegon’s accounting policies. Market-consistent assumptions underlying the measurement of non-listed The accounting mismatch inherent in IFRS is also apparent in the reported sensitivities. A change in interest rates has an immediate impact on the carrying amount of assets measured at fair value. However, the shock will not have a similar effect on the carrying amount of the related insurance liabilities that are measured based on locked-in ‘available-for-sale’, on these assets are not recognized in the income statement but are booked through other comprehensive income to the revaluation reserves in shareholders’ equity, unless impaired. As a result, economic sensitivities predominantly impact shareholders’ equity but leave net result unaffected. The effect of movements of the revaluation reserve on capitalization ratios and capital adequacy are minimal. Aegon’s target ratio for the composition of its capital base is based on shareholders’ equity excluding the revaluation reserve. The sensitivities do not reflect what the net result for the period would have been if risk variables had been different because the analysis is based on the exposures in existence at the reporting date rather than on those that actually occurred during the year. Nor are the results of the sensitivities intended to be an accurate prediction of Aegon’s future shareholders’ equity or earnings. The analysis does not take into account the impact of future new business, which is an important component of Aegon’s future earnings. It also does not consider all methods available to management to respond to changes in the financial environment, such as changing investment portfolio allocations or adjusting premiums and crediting rates. Furthermore, the results of the analyses cannot be extrapolated for wider variations since effects do not tend to be linear. Concentration risk for financial risks are measured and managed at the following levels:
¨ Concentration per risk type: Risk exposures are measured per risk type as part of Aegon’s internal economic framework. A risk tolerance framework is in place which sets risk limits per risk type to target desired risk balance and promote diversification across risk types;
¨ Concentration per counterparty: Risk exposure is measured and risk limits are in place per counterparty as part of the Counterparty Name Limit Policy; and
¨ Concentration per sector, geography and asset class: Aegon’s investment strategy is translated in investment mandates for its internal and external asset managers. Through these investment mandates limits on sector, geography and asset class are set. Compliance monitoring of the investment mandates is done by the insurance operating companies. Moreover, concentration of financial risks are measured in Aegon business planning cycle. As part of business planning, the resilience of Aegon’s business strategy is tested in several extreme event scenarios. In the Adverse Financial scenario, financial markets are stressed without assuming diversification across different market factors. Within the projection certain management actions may be implemented when management deems this necessary. Aegon’s significant financial risks and related financial information are explained in the order as follows:
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¨ • Credit risk As premiums and deposits are received, these funds are invested to pay for future policyholder obligations. For general account products, Aegon typically bears the risk for investment performance which is equal to the return of principal and interest. Aegon is exposed to credit risk on its general account fixed-income portfolio (debt securities, mortgages and private placements), over-the-counter The table that follows shows the Group’s maximum exposure to credit risk from investments in general account financial assets, as well as general account derivatives and reinsurance assets, collateral held and net exposure. Please refer to note 45 and 46 for further information on capital commitments and contingencies and on collateral given, which may expose the Group to credit risk.
2021 Maximum exposure to credit risk Cash Securities Letters of credit / guaran- tees Real estate property Master netting agree- ments Other Total collateral Surplus collateral overcollater- alization) Net exposure
Debt securities - carried at fair value 97,195 - - 221 - - - 221 - 96,974
Money market and other short-term investments - carried at fair value 4,910 - 330 - - - - 330 21 4,601
Mortgage loans - carried at amortized cost 39,991 2,684 - 32 75,412 - - 78,128 38,197 60
Private loans - carried at amortized cost 4,883 33 - - - - - 33 - 4,850
Other loans - carried at amortized cost 1,949 - - - - - 1,872 1,872 1,346 1,423
Other financial assets - carried at fair value 4,245 - - - - - - - - 4,245
Derivatives 8,780 2,555 107 - - 5,921 - 8,583 66 263
Reinsurance assets 20,992 - 3,784 77 - - - 3,861 - 17,131
At December 31 182,945 5,272 4,221 330 75,412 5,921 1,872 93,028 39,630 129,547
2020 Maximum exposure to credit risk Cash Securities Letters of credit / guaran- tees Real estate property Master netting agree- ments Other Total collateral Surplus collateral (or overcollateral- ization) Net exposure
Debt securities - carried at fair value 99,350 - - 245 - - - 245 - 99,105
Money market and other short-term investments - carried at fair value 4,667 - 330 - - - - 330 19 4,357
Mortgage loans - carried at amortized cost 38,244 2,685 - 60 64,028 - - 66,772 28,655 126
Private loans - carried at amortized cost 4,358 45 - - - - - 45 - 4,313
Other loans - carried at amortized cost 1,917 - - - - - 1,786 1,786 1,293 1,424
Other financial assets - carried at fair value 3,641 - - - - - - - - 3,641
Derivatives 13,238 4,873 60 29 - 8,373 - 13,336 135 38
Reinsurance assets 18,910 - 3,578 117 - - - 3,694 - 15,216
At December 31 184,326 7,603 3,967 450 64,028 8,373 1,786 86,207 30,101 128,220 Debt securities Several bonds in Aegon’s Americas’ portfolio are guaranteed by Monoline insurers. This is shown in the table above in the column ‘Letters of credit / guarantees’. Money market and short-term investments The collateral reported for the money market and short-term investments are related to tri-party tri-party Mortgage loans The real estate collateral for mortgages includes both residential and commercial properties. The collateral for commercial mortgage loans in Aegon Americas is measured at fair value. At a minimum on an annual basis, a fair value is estimated for each individual real estate property that has been pledged as collateral. When a loan is originally provided, an external appraisal is obtained to estimate the value of the property. In subsequent years, the value is typically estimated internally using various professionally accepted valuation methodologies. Internal appraisals are performed by qualified, professionally accredited personnel. International valuation standards are used and the most significant assumptions made during the valuation of real estate are the current cost of reproducing or replacing the property, the value that the property’s net earning power will support, and the value indicated by recent sales of comparable properties. Valuations are primarily supported by market evidence. For Aegon the Netherlands, collateral for the residential mortgages is measured as the foreclosure value which is indexed periodically. Cash collateral for mortgage loans includes the savings that have been received to redeem the underlying mortgage loans at redemption date. These savings are part of the credit side of the statement of financial position, but reduce the credit risk for the mortgage loan as a whole. A substantial part of Aegon’s Dutch residential mortgage loan portfolio benefits from guarantees by a Dutch government-backed trust (Stichting Waarborgfonds Eigen Woning) through the Dutch Mortgage loan Guarantee program (NHG). With exception of NHG-backed Derivatives The master netting agreements column in the table relates to derivative liability positions which are used in Aegon’s credit risk management. The offset in the master netting agreements column includes balances where there is a legally enforceable right of offset, but no intention to settle these balances on a net basis under normal circumstances. As a result, there is a net exposure for credit risk management purposes. However, as there is no intention to settle these balances on a net basis, they do not qualify for net presentation for accounting purposes. Reinsurance assets The collateral related to the reinsurance assets include assets in trust that are held by the reinsurer for the benefit of Aegon. The assets in trust can be accessed to pay policyholder benefits in the event the reinsurers fail to perform under the terms of their contract. Further information on the related reinsurance transactions is included in note 26 Reinsurance assets. Other loans The collateral included in the other column represents the policyholders account value for policy loans. The excess of the account value over the loan value is included in the surplus collateral column. For further information on the policy loans refer to note 22.1 Financial assets, excluding derivatives. The total collateral includes both under- and over-collateralized positions. To present a net exposure of credit risk, the over-collateralization, which is shown in the surplus collateral column, is extracted from the total collateral. Credit risk management Aegon manages credit risk exposure by individual counterparty, sector and asset class, including cash positions. Normally, Aegon mitigates credit risk in derivative contracts by entering into credit support agreement, where practical, and in ISDA master netting agreements for most of Aegon’s legal entities to facilitate Aegon’s right to offset credit risk exposure. Main counterparties to these transactions are investment banks which are typically rated ‘A’ or higher. The credit support agreement will normally dictate the threshold over which collateral needs to be pledged by Aegon or its counterparty. Transactions requiring Aegon or its counterparty to post collateral are typically the result of derivative trades, comprised mostly of interest rate swaps, equity swaps, currency swaps and credit swaps. Collateral received is mainly cash (USD and EUR). The credit support agreements that outline the acceptable collateral require high-quality instruments to be posted. Over the last three years, there was no default with any derivatives counterparty. The credit risk associated with financial assets subject to a master netting agreement is eliminated only to the extent that financial liabilities due to the same counterparty will be settled after the assets are realized. Eligible derivative transactions are traded via Central Clearing Houses as required by EMIR and the Dodd-Frank act. Credit risk in these transactions is mitigated through posting of initial and variation margins. Aegon may also mitigate credit risk in reinsurance contracts by including downgrade clauses that allow the recapture of business, retaining ownership of assets required to support liabilities ceded or by requiring the reinsurer to hold assets in trust. For the resulting net credit risk exposure, Aegon employs deterministic and stochastic credit risk modeling in order to assess the Group’s credit risk profile, associated earnings and capital implications due to various credit loss scenarios. Aegon operates a Credit Name Limit Policy (CNLP) under which limits are placed on the aggregate exposure that it has to any one counterparty. Limits are placed on the exposure at both group level and individual country units. The limits also vary by a rating system, which is a composite of the main rating agencies (S&P, Moody’s and Fitch) and Aegon’s internal rating of the counterparty. If an exposure exceeds the stated limit, then the exposure must be reduced to the limit for the country unit and rating category as soon as possible. Exceptions to these limits can only be made after explicit approval from Aegon’s Group Risk and Capital Committee (GRCC). The policy is reviewed regularly. At December 31, 2021, there was one violation of the Credit Name Limit Policy at Group level (2020: one). This related to the Republic of Turkey and is being closely monitored. The breach will be resolved by the disposal of Aegon Turkey, which is expected to close in 2022. At December 31, 2021, Aegon’s largest corporate credit exposures are to Wilton Re Holdings Ltd, American United Mutual Insurance, Reinsurance Group of America and JP Morgan. Aegon had large government exposures, the largest being to the United States, the Netherlands and Germany. Highly rated government bonds and government exposure domestically issued and owned in local currency are excluded from the Credit Name Limit Policy. Aegon group level long-term counterparty exposure limits are as follows: Group limits per credit rating
Amounts in EUR million 2021 2020
AAA 900 900
AA 900 900
A 675 675
BBB 450 450
BB 250 250
B 125 125
CCC or lower 50 50 Credit rating The ratings distribution of general account portfolios of Aegon’s major reporting units, excluding reinsurance assets, are presented in the table that follows, organized by rating category and split by assets that are valued at fair value and assets that are valued at amortized cost. Aegon uses a composite rating based on a combination of the external ratings of S&P, Moody’s, Fitch and National Association of Insurance Commissioners (NAIC which is for US only) and internal ratings. The rating used is the lower of the external rating and the internal rating.
Credit rating general account investments, excluding reinsurance assets 2021 Americas The Netherlands United Kingdom International
Amortized Fair Amortized Fair Amortized Fair Amortized Fair
AAA 1,383 15,537 2,607 11,832 - 74 - 738
AA 4,219 4,438 216 6,474 - 586 - 699
A 3,301 20,888 128 10,636 - 384 52 2,610
BBB 519 21,894 1,050 4,458 - 202 (4 ) 3,311
BB 59 1,614 44 127 - 1 - 272
B - 549 - 19 - - 18 370
CCC or lower - 441 - 19 - - - 13
Assets not rated 1,868 4,257 31,137 1,418 - 644 27 79
Total 11,349 69,618 35,182 34,983 - 1,893 93 8,093
Past due and/or impaired assets 2 2,044 176 17 - - - 116
At December 31 11,352 71,662 35,358 35,000 - 1,893 93 8,208
Asset Management Total 2021 1)
Credit rating general account investments, excluding reinsurance assets 2021 Amortized Fair Amortized Fair Total carrying value
AAA - 295 3,989 28,476 32,465
AA - - 4,436 12,197 16,633
A - - 3,481 34,530 38,011
BBB - - 1,564 29,866 31,431
BB - - 103 2,015 2,118
B - - 18 938 956
CCC or lower - - - 473 473
Assets not rated - 2 33,053 6,474 39,527
Total - 296 46,644 114,968 161,613
Past due and/or impaired assets - - 178 2,176 2,355
At December 31 - 296 46,823 117,145 163,967
1 Includes investments of Holding and other activities.
Credit rating general account investments, excluding reinsurance assets 2020 Americas The Netherlands United Kingdom International
Amortized Fair Amortized cost Fair Amortized Fair Amortized Fair
AAA 1,066 15,551 1,913 14,362 - 43 - 925
AA 3,494 4,112 74 7,663 - 605 - 617
A 3,369 21,741 46 14,421 - 337 49 2,604
BBB 631 21,049 1,098 4,031 - 173 (4 ) 3,242
BB 56 1,847 46 248 - 1 - 230
B - 611 - 100 - - 45 302
CCC or lower - 556 - 15 - - 1 12
Assets not rated 1,775 3,360 30,492 1,464 - 848 30 80
Total 10,390 68,828 33,669 42,305 - 2,008 120 8,014
Past due and/or impaired assets 87 1,130 212 14 - - - 88
At December 31 10,477 69,958 33,882 42,319 - 2,008 120 8,102
Asset Management Total 2020 1)
Credit rating general account investments, excluding reinsurance assets 2020 Amortized cost Fair Amortized cost Fair value Total carrying value
AAA - 159 2,980 31,042 34,021
AA - 3 3,567 13,001 16,568
A - 4 3,464 39,123 42,586
BBB - 15 1,725 28,510 30,235
BB - 16 102 2,372 2,473
B - 8 45 1,022 1,067
CCC or lower - 2 1 585 586
Assets not rated - 1 32,336 5,984 38,320
Total - 208 44,219 121,637 165,856
Past due and/or impaired assets - - 300 1,238 1,538
At December 31 - 208 44,519 122,875 167,394
1 Includes investments of Holding and other activities. The following table shows the credit quality of the gross positions in the statement of financial position for general account reinsurance assets specifically:
Carrying value 2021 Carrying value 2020
AAA - -
AA 9,084 9,025
A 11,087 9,430
Below A 7 34
Not rated 813 421
At December 31 20,992 18,910 Credit risk concentration The tables that follow present specific credit risk concentration information for general account financial assets.
Credit risk concentrations – debt securities and money market investments 2021 Americas The Netherlands United Kingdom Interna- tional Asset Management Total 2021 1) Of which past due and/or impaired assets
Residential mortgage-backed securities (RMBSs) 1,854 106 - 20 4 1,984 611
Commercial mortgage-backed securities (CMBSs) 3,005 3 122 517 - 3,647 13
Asset-backed securities (ABSs) - CDOs backed by ABS, Corp. bonds, Bank loans 265 1,576 - 37 - 1,878 2
ABSs – Other 1,972 1 74 267 8 2,321 27
Financial - Banking 5,597 3,146 177 1,035 - 9,956 9
Financial - Other 9,916 854 68 783 257 11,877 175
Capital goods and other industry 4,048 1,078 33 501 - 5,661 144
Communications & Technology 6,190 1,561 3 732 - 8,485 411
Consumer cyclical 3,159 741 43 342 - 4,286 152
Consumer non-cyclical 6,138 1,900 121 825 - 8,984 177
Energy 4,177 143 26 635 - 4,980 91
Transportation 2,151 815 - 197 - 3,163 130
Utility 5,356 707 105 590 - 6,757 153
Government bonds 11,663 14,321 477 1,649 18 28,127 4
At December 31 65,490 26,951 1,248 8,130 286 102,105 2,101
1 Includes investments of Holding and other activities.
Credit risk concentrations – Government bonds per country of risk 2021 Americas The Netherlands United Kingdom International Asset Management Total 2021 1)
United States 10,897 - - 463 - 11,360
Netherlands - 4,691 - - - 4,691
United Kingdom - 3 413 - 18 433
Austria - 1,175 - 6 - 1,181
Belgium - 1,132 - 5 - 1,137
Finland - 41 - - - 41
France - 1,618 34 2 - 1,654
Germany - 4,309 - - - 4,309
Hungary - - - 302 - 302
Indonesia 75 39 - 28 - 141
Luxembourg - 873 - 1 - 875
Spain - 144 - 197 - 341
Rest of Europe 85 65 - 503 - 654
Rest of world 587 230 31 131 - 979
Supranational 19 - - 11 - 29
At December 31 11,663 14,321 477 1,649 18 28,127
1 Includes investments of Holding and other activities.
Credit risk concentrations – Credit rating 2021 2) Government bonds Corporate bonds RMBSs CMBSs ABSs Other Total 2021 1)
AAA 19,740 754 5,779 1,882 28,155
AA 5,476 4,099 1,125 - 10,700
A 1,228 25,470 1,648 - 28,345
BBB 1,094 28,855 338 - 30,286
BB 238 1,700 63 - 2,001
B 348 553 26 - 927
CCC or lower 5 183 826 - 1,014
Assets not rated - 3 24 649 676
At December 31 28,127 61,617 9,830 2,531 102,105
1 Includes investments of Holding and other activities.
2 CNLP Ratings are used and are the lower of the Barclay’s Rating and the Internal Rating with the Barclay’s rating being a blended rating of S&P, Fitch, and Moody’s. There are no individual issuers rated below investment grade in the RMBS sector, CMBS sector and ABS sector which have unrealized loss position greater than EUR 25 million.
Credit risk concentrations – debt securities and money market investments 2020 Americas The Netherlands United Kingdom International Asset Management Total 2020 1) Of which past due and/or impaired assets
Residential mortgage-backed securities (RMBSs) 2,317 165 - 80 3 2,565 736
Commercial mortgage-backed securities (CMBSs) 2,970 12 122 495 - 3,599 9
Asset-backed securities (ABSs) - CDOs backed by ABS, Corp. bonds, Bank loans 422 1,703 - 35 - 2,159 1
ABSs – Other 1,584 11 74 294 2 1,965 9
Financial - Banking 6,144 4,520 164 1,034 2 11,863 9
Financial - Other 9,080 706 78 744 135 10,760 35
Capital goods and other industry 3,968 1,182 18 446 4 5,618 41
Communications & Technology 5,736 1,129 3 701 1 7,570 119
Consumer cyclical 3,112 999 43 368 - 4,522 30
Consumer non-cyclical 6,200 1,773 120 815 1 8,909 32
Energy 3,852 287 27 545 4 4,715 12
Transportation 2,202 784 - 197 1 3,183 21
Utility 4,872 401 78 610 - 5,960 143
Government bonds 11,282 17,208 434 1,658 46 30,627 4
At December 31 63,739 30,880 1,160 8,022 199 104,018 1,200
1 Includes investments of Holding and other activities.
Credit risk concentrations – Government Americas The United International Asset Total 2020 1)
United States 10,623 61 - 503 2 11,189
Netherlands - 6,505 - - - 6,505
United Kingdom - 3 368 - 17 387
Austria - 1,318 - 9 - 1,326
Belgium - 1,255 - 5 - 1,260
Finland - 42 - - - 42
France - 1,779 34 3 - 1,816
Germany - 4,869 - - - 4,869
Hungary 2 - - 375 1 378
Luxembourg - 950 - 1 - 951
Spain - 146 - 208 - 354
Rest of Europe 87 165 - 434 3 689
Rest of world 567 115 32 115 24 854
Supranational 3 - - 4 - 7
At December 31 11,282 17,208 434 1,658 46 30,627
1 Includes investments of Holding and other activities.
Credit risk concentrations – Credit rating 2020 2) Government Corporate RMBSs Other Total 1)
AAA 22,335 766 6,256 1,585 30,942
AA 5,657 4,181 1,352 - 11,190
A 1,056 26,438 1,224 - 28,718
BBB 1,175 26,769 320 - 28,264
BB 90 2,055 133 - 2,279
B 308 639 53 - 1,000
CCC or lower 6 282 949 - 1,237
Assets not rated - 2 2 385 388
At December 31 30,627 61,132 10,289 1,970 104,018
1 Includes investments of Holding and other activities.
2 CNLP Ratings are used and are the lower of the Barclay’s Rating and the Internal Rating with the Barclay’s rating being a blended rating of S&P, Fitch, and Moody’s. There are no individual issuers rated below investment grade in the RMBS sector, CMBS sector and ABS sector which have unrealized loss position greater than EUR 25 million.
Credit risk concentrations – mortgage loans 2021 Americas The Netherlands United International Asset Total 2021 Of which past
Agricultural 59 - - - - 59 -
Apartment 5,085 - - - - 5,085 2
Industrial 1,349 - - - - 1,349 -
Office 1,560 - - - - 1,560 -
Retail 1,425 6 - - - 1,432 -
Other commercial - 23 - - - 23 1
Residential 6 30,476 - 1 - 30,483 139
At December 31 9,485 30,505 - 1 - 39,991 142
Credit risk concentrations – mortgage loans 2020 Americas The Netherlands United International Asset Total Of which past due and/or impaired assets
Agricultural 59 - - - - 59 -
Apartment 4,169 - - - - 4,169 86
Industrial 1,240 - - - - 1,240 -
Office 1,624 - - - - 1,625 -
Retail 1,383 7 - - - 1,390 1
Other commercial 223 25 - - - 248 1
Residential 8 29,505 - 1 - 29,514 173
At December 31 8,706 29,537 - 1 - 38,244 261 The fair value of Aegon Americas commercial and agricultural mortgage loan portfolio as per December 31, 2021, amounted to EUR 10,161 million (2020: EUR 9,518 million). The loan to value (LTV) amounted to approximately 53% (2020: 55%). Of the portfolio 0% (2020: 1%) is in delinquency (defined as 60 days in arrears). In 2021, Aegon Americas recognized EUR 1 million of net impairments (2020: EUR 1 million net impairments) on this portfolio. In 2021, there were no foreclosures (2020: EUR 0 million) and no impairments or recoveries associated with foreclosed loans (2020: EUR 0 million). The fair value of Aegon the Netherlands mortgage loan portfolio as per December 31, 2021, amounted to EUR 34,198 million (2020: EUR 33,761 million). The LTV amounted to approximately 56% (2020: 66%). A significant part of the portfolio 42% (2020: 45%) is government guaranteed. Of the portfolio, 0.1% (2020: 0.1%) is in delinquency (defined as 60 days in arrears). Impairments in 2021 amounted to EUR 1 million (2020: EUR 0 million). During the last ten years defaults of the portfolio have been 5 basis points on average. Unconsolidated structured entities Aegon’s investments in unconsolidated structured entities such as RMBSs, CMBSs and ABSs and investment funds are presented in the line item ‘Investments’ of the statement of financial position. Aegon’s interests in these unconsolidated structured entities can be characterized as basic interests, Aegon does not have loans, derivatives, guarantees or other interests related to these investments. Any existing commitments such as future purchases of interests in investment funds are disclosed in note 45 Commitments and contingencies. For debt instruments, specifically for RMBSs, CMBSs and ABSs, the maximum exposure to loss is equal to the carrying amount which is reflected in the credit risk concentration table regarding debt securities and money market investments. To manage credit risk Aegon invests primarily in senior notes of RMBSs, CMBSs and ABSs. The composition of the RMBSs, CMBSs and ABSs portfolios of Aegon are widely dispersed looking at the individual amount per entity, therefore Aegon only has non-controlling interests in individual unconsolidated structured entities. Furthermore these investments are not originated by Aegon. Except for commitments as noted in note 45 Commitments and contingencies, Aegon did not provide, nor is required to provide financial or other support to unconsolidated structured entities. Nor does Aegon have intentions to provide financial or other support to unconsolidated structured entities in which Aegon has an interest or previously had an interest. For RMBSs, CMBSs and ABSs in which Aegon has an interest at reporting date, the following table presents total income received from those interests. The Investments column reflects the carrying values recognized in the statement of financial position of Aegon’s interests in RMBSs, CMBSs and ABSs.
Total result 2021 December 31, 2021
2021 Interest income Total gains and losses on sale of assets Total Investments
Residential mortgage-backed securities 83 (28 ) 55 1,980
Commercial mortgage-backed securities 113 (31 ) 82 3,647
Asset-backed securities 29 - 29 1,878
ABSs - Other 70 (11 ) 59 2,323
Total 295 (69 ) 226 9,829
Total result 2020 December 31, 2020
2020 Interest income Total gains and Total Investments
Residential mortgage-backed securities 120 25 144 2,565
Commercial mortgage-backed securities 128 92 220 3,599
Asset-backed securities 38 (5 ) 34 2,159
ABSs - Other 79 104 183 1,965
Total 366 215 581 10,289 Additional information on credit risk, unrealized losses and impairments Debt instruments The amortized cost and fair value of debt securities, money market investments and other, included in Aegon’s available-for-sale (AFS) portfolios, are as follows as of December 31, 2021, and December 31, 2020.
2021 Amortized Unrealized Unrealized Total fair Fair value of Fair value of
Debt securities, money market instruments and other
United States government 8,942 2,386 (11 ) 11,317 10,938 379
Dutch government 3,456 1,238 (0 ) 4,694 4,688 6
Other government 9,060 2,794 (84 ) 11,769 10,414 1,356
Mortgage-backed securities 5,265 372 (56 ) 5,581 3,832 1,749
Asset-backed securities 4,088 118 (16 ) 4,189 2,334 1,855
Corporate 50,953 5,738 (343 ) 56,348 45,363 10,985
Money market investments 4,790 - (0 ) 4,790 4,547 243
Other 876 34 (66 ) 844 519 325
Total 87,431 12,679 (576 ) 99,533 82,635 16,898
Of which held by Aegon Americas and NL 78,468 11,865 (475 ) 89,859 74,954 14,905
2020 Amortized Unrealized Unrealized Total fair Fair value of Fair value of
Debt securities, money market instruments and other
United States government 8,336 2,608 (9 ) 10,935 10,661 274
Dutch government 4,769 1,736 - 6,505 6,502 3
Other government 9,085 3,660 (8 ) 12,736 12,465 271
Mortgage-backed securities 5,67 |
