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Financial risks (Tables)

12 Months Ended

Dec. 31, 2019

Schedule of Maximum Exposure to Credit Risk

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.


2019	Maximum exposure to credit risk		Cash		Securities		Letters of credit / guarantees		Real estate property		Master netting agree- ments		Other		Total collateral		Surplus collateral (or overcollater- alization)		Net exposure
Debt securities - carried at fair value		86,853		-		-		267		-		-		-		267		-		86,586

Money market and other short-term investments - carried at fair value		5,327		-		363		-		-		-		-		363		23		4,987

Mortgage loans - carried at amortized cost		37,750		2,648		-		65		61,159		-		-		63,872		26,249		127

Private loans - carried at amortized cost		4,487		51		-		-		-		-		-		51		-		4,436

Other loans - carried at amortized cost		2,353		-		-		-		-		-		2,008		2,008		1,329		1,674

Other financial assets - carried at fair value		4,083		-		-		-		-		-		-		-		-		4,083

Derivatives		10,658		2,666		47		31		-		8,186		-		10,930		283		10

Reinsurance assets		20,835		-		3,884		105		-		-		-		3,989		-		16,845
At December 31		172,346		5,365		4,294		468		61,159		8,186		2,008		81,481		27,884		118,749


2018	Maximum exposure to credit risk		Cash		Securities		Letters of credit / guarantees		Real estate property		Master netting agree- ments		Other		Total collateral		Surplus collateral (or overcollateral- ization)		Net exposure

Debt securities - carried at fair value		81,253		-		-		169		-		-		-		169		-		81,084

Money market and other short-term investments - carried at fair value		6,307		-		484		-		-		-		-		484		29		5,852

Mortgage loans - carried at amortized cost		36,240		2,535		-		136		57,009		-		-		59,680		23,589		149

Private loans - carried at amortized cost		4,103		45		-		-		-		-		-		45		-		4,058

Other loans - carried at amortized cost		2,310		-		-		-		-		-		1,960		1,960		1,238		1,589

Other financial assets - carried at fair value		3,551		-		-		-		-		-		-		-		-		3,551

Derivatives		7,337		2,627		233		31		-		4,606		-		7,496		225		66

Reinsurance assets		20,505		-		4,035		104		-		-		-		4,139		-		16,366
At December 31		161,607		5,207		4,752		439		57,009		4,606		1,960		73,972		25,081		112,715

Summary of Credit Risk Rating Grades

Aegon group level long-term counterparty exposure limits are as follows:

Group limits per credit rating


Amounts in EUR million	2019	2018

AAA	900	900

AA	900	900

A	675	675

BBB	450	450

BB	250	250

B	125	125

CCC or lower	50	50

Schedule of Ratings Distribution of General Account Portfolios

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 2019	Americas				The Netherlands				United Kingdom				Southern & Eastern Europe
	Amortized				Amortized				Amortized				Amortized
	cost		Fair value		cost		Fair value		cost		Fair value		cost		Fair value

AAA		1,311		14,664		1,799		13,342		-		91		-		15

AA		3,671		4,162		82		7,625		-		624		-		101

A		3,580		19,752		47		8,271		-		307		61		592

BBB		275		19,062		970		1,758		-		120		5		572

BB		15		1,314		49		97		-		1		-		10

B		4		926		-		2		-		-		36		212

CCC or lower		-		677		-		-		-		-		-		1

Assets not rated		1,971		4,028		30,306		1,493		-		959		16		72

Total		10,827		64,584		33,251		32,589		-		2,103		118		1,574

Past due and / or impaired assets		95		1,051		210		19		-		-		-		-
At December 31		10,922		65,635		33,460		32,609		-		2,103		118		1,574


Credit rating general account investments, excluding reinsurance assets 2019	Asia				Asset Management						Total 2019 1)
	Amortized				Amortized				Amortized				Total carrying
	cost		Fair value		cost		Fair value		cost		Fair value		value

AAA		-		1,032		-		164		3,110		29,322		32,431

AA		-		500		-		2		3,752		13,014		16,766

A		-		2,260		-		11		3,688		31,206		34,895

BBB		-		2,530		-		15		1,249		24,058		25,307

BB		-		158		-		27		64		1,678		1,742

B		-		100		-		34		40		1,274		1,314

CCC or lower		-		13		-		9		-		699		699

Assets not rated		42		17		-		5		32,383		6,789		39,172

Total		42		6,611		-		266		44,286		108,040		152,327
Past due and / or impaired assets		-		9		-		-		305		1,101		1,406
At December 31		42		6,620		-		266		44,591		109,142		153,732

1	Includes investments of Holding and other activities.


Credit rating general account investments, excluding reinsurance assets 2018	Americas				The Netherlands				United Kingdom				Southern & Eastern Europe
	Amortized				Amortized				Amortized				Amortized
	cost		Fair value		cost		Fair value		cost		Fair value		cost		Fair value

AAA		941		15,338		1,611		12,956		-		84		-		10

AA		3,104		3,855		83		6,704		-		594		-		100

A		3,567		17,428		55		2,482		-		291		54		505

BBB		266		17,609		924		1,299		-		95		3		682

BB		7		1,393		52		39		-		1		9		22

B		-		1,013		-		-		-		-		64		105

CCC or lower		-		741		-		-		-		-		1		1

Assets not rated		1,952		4,126		29,534		4,423		-		1,085		13		70

Total		9,837		61,501		32,259		27,905		-		2,149		143		1,496

Past due and / or impaired assets		108		1,346		277		25		-		-		-		1
At December 31		9,945		62,847		32,536		27,930		-		2,149		143		1,497


	Asia				Asset Management						Total 2018 1)
Credit rating general account investments, excluding reinsurance assets 2018	Amortized cost		Fair value		Amortized cost		Fair value		Amortized cost		Fair value		Total carrying value

AAA		-		987		-		136		2,552		29,518		32,070

AA		-		372		-		-		3,188		11,626		14,813

A		-		1,823		-		5		3,675		22,542		26,218

BBB		-		2,186		-		1		1,193		21,871		23,064

BB		-		140		-		9		68		1,653		1,721

B		-		132		-		17		64		1,267		1,331

CCC or lower		-		22		-		9		1		773		774

Assets not rated		16		14		-		5		31,527		9,960		41,488

Total		16		5,676		-		181		42,268		99,210		141,478

Past due and / or impaired assets		-		27		-		-		385		1,399		1,784
At December 31		16		5,704		-		181		42,653		100,609		143,263

1	Includes investments of Holding and other activities.

Summary of Credit Quality of Gross Positions of Reinsurance Assets

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 2019		Carrying value 2018

AAA		-		-

AA		10,477		9,150

A		10,002		11,041

Below A		40		30

Not rated		316		284
At December 31		20,835		20,505

Schedule of 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 2019	Americas		The Netherlands		United Kingdom		Southern & Eastern Europe		Asia		Asset Manage- ment		Total 2019 1 )		Of which past due and / or impaired assets

Residential mortgage-backed securities (RMBSs)		2,289		311		-		-		128		-		2,729		909

Commercial mortgage-backed securities (CMBSs)		3,428		13		128		-		584		1		4,154		8

Asset-backed securities (ABSs) - CDOs backed by ABS, Corp. bonds, Bank loans		519		1,050		-		-		73		-		1,642		4

ABSs – Other		1,724		73		72		6		384		-		2,258		1

Financial - Banking		6,561		2,684		154		224		928		3		10,554		4

Financial - Other		8,885		191		38		71		742		154		10,096		4

Industrial		23,158		2,243		234		176		2,966		57		28,835		61

Utility		3,760		136		67		45		402		1		4,411		52

Government bonds		9,558		16,072		449		975		401		44		27,500		2
At December 31		59,882		22,773		1,143		1,497		6,609		260		92,180		1,046

1	Includes investments of Holding and other activities.


Credit risk concentrations – Government bonds per country of risk 2019	Americas		The Netherlands		United Kingdom		Southern & Eastern Europe		Asia		Asset Manage- ment		Total 2019 1)

United States		8,893		1		-		4		309		2		9,210

Netherlands		-		6,316		-		-		-		-		6,316

United Kingdom		-		-		362		-		-		18		380

Austria		-		1,227		-		4		-		-		1,230

Belgium		-		1,097		21		5		-		-		1,123

Finland		-		135		-		-		-		-		135

France		-		1,512		35		3		-		-		1,551

Germany		-		4,649		-		-		-		-		4,649

Hungary		2		-		-		345		-		-		348

Luxembourg		-		807		-		-		-		-		807

Spain		-		95		-		273		-		-		368

Rest of Europe		85		216		-		336		6		3		646

Rest of world		576		17		32		5		85		22		737
Supranational		1		-		-		-		-		-		1

At December 31		9,558		16,072		449		975		401		44		27,500

1	Includes investments of Holding and other activities.


Credit risk concentrations – Credit rating 2019 2)	Government bonds		Corporate bonds		RMBSs CMBSs ABSs		Other		Total 2019 1)

AAA		20,324		719		6,344		1,861		29,248

AA		4,903		3,514		1,429		2		9,848

A		899		22,416		1,378		-		24,693

BBB		949		22,137		284		-		23,371

BB		110		1,292		122		-		1,524

B		297		956		27		-		1,280

CCC or lower		18		309		1,197		-		1,524

Assets not rated		-		3		3		686		691

At December 31		27,500		51,347		10,783		2,549		92,180

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.


Credit risk concentrations – debt securities and money market investments 2018	Americas		The Netherlands		United Kingdom		Southern & Eastern Europe		Asia		Asset Manage- ment		Total 2018 1)		Of which past due and / or impaired assets

Residential mortgage-backed securities (RMBSs)		2,138		395		-		-		52		-		2,585		918

Commercial mortgage-backed securities (CMBSs)		3,314		35		127		-		537		-		4,013		14

Asset-backed securities (ABSs) - CDOs backed by ABS, Corp. bonds, Bank loans		717		1,669		-		-		61		-		2,447		3

ABSs – Other		1,915		247		61		6		323		-		2,552		40

Financial - Banking		6,423		1,473		132		210		815		6		9,059		29

Financial - Other		8,863		188		33		116		595		121		9,924		19

Industrial		21,060		1,515		213		148		2,486		33		25,457		187

Utility		3,572		115		60		51		370		-		4,169		144

Government bonds		9,607		15,948		438		889		457		17		27,356		8

At December 31		57,609		21,586		1,064		1,419		5,696		176		87,560		1,362

1	Includes investments of Holding and other activities.


Credit risk concentrations – Government bonds per country of risk 2018	Americas		The Netherlands		United Kingdom		Southern & Eastern Europe		Asia		Asset Manage- ment		Total 2018 1)

United States		8,891		-		-		-		362		-		9,253

Netherlands		-		6,040		-		-		-		-		6,040

United Kingdom		-		-		356		1		-		17		374

Austria		-		1,102		-		4		-		-		1,106

Belgium		-		1,000		21		6		-		-		1,027

Finland		-		949		-		-		-		-		949

France		-		1,292		33		5		-		-		1,329

Germany		-		4,397		-		-		-		-		4,397

Hungary		3		-		-		410		-		-		413

Luxembourg		-		786		-		1		-		-		787

Spain		-		89		-		209		-		-		298

Rest of Europe		103		264		-		247		9		-		623

Rest of world		580		30		28		5		86		-		730

Supranational		30		-		-		-		-		-		30

At December 31		9,607		15,948		438		889		457		17		27,356

1	Includes investments of Holding and other activities.


Credit risk concentrations – Credit rating 2018 2)	Government bonds		Corporate bonds		RMBSs CMBSs ABSs		Other		Total 2018 1)

AAA		20,479		772		6,505		1,753		29,511

AA		4,949		3,264		1,721		-		9,934

A		614		18,482		1,490		1		20,587

BBB		961		20,360		349		1		21,670

BB		215		1,279		144		-		1,638

B		136		1,003		69		-		1,207

CCC or lower		1		302		1,318		-		1,621

Assets not rated		-		-		-		1,391		1,391

At December 31		27,356		45,462		11,596		3,147		87,560

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.


Credit risk concentrations – mortgage loans 2019	Americas		The Netherlands		United Kingdom		Southern & Eastern Europe		Asia		Asset Manage- ment		Total 2019 1)		Of which past due and /or impaired assets

Agricultural		69		-		-		-		-		-		69		-

Apartment		4,383		-		-		-		-		-		4,383		94

Industrial		1,266		-		-		-		-		-		1,266		-

Office		1,395		-		-		-		-		-		1,395		-

Retail		1,575		8		-		-		-		-		1,583		1

Other commercial		258		43		-		-		-		-		302		1

Residential		9		28,742		-		1		-		-		28,752		163

At December 31		8,956		28,793		-		1		-		-		37,750		259

1	Includes investments of Holding and other activities.


Credit risk concentrations – mortgage loans 2018	Americas		The Netherlands		United Kingdom		Southern & Eastern Europe		Asia		Asset Manage- ment		Total 2018 1)		Of which past due and / or impaired assets
Agricultural		69		-		-		-		-		-		69		15
Apartment		3,993		-		-		-		-		-		3,993		92
Industrial		871		-		-		-		-		-		871		-
Office		1,342		-		-		-		-		-		1,343		-
Retail		1,457		9		-		-		-		-		1,466		1
Other commercial		258		35		-		-		-		-		292		2
Residential		12		28,193		-		1		-		-		28,207		227
At December 31		8,002		28,237		-		1		-		-		36,240		337

1	Includes investments of Holding and other activities.

Summary of Income Received From Investments in RMBSs, SMBSs and ABSs


						Total income 2019		December 31, 2019
2019	Interest income		Total gains and losses on sale of assets			Total		Investments
Residential mortgage-backed securities		140		97			237		2,729
Commercial mortgage-backed securities		138		182			320		4,153
Asset-backed securities		47		(1	)		45		1,642
ABSs - Other		87		81			168		2,258
Total		412		358			769		10,782


						Total income 2018		December 31, 2018
2018	Interest income		Total gains and losses on sale of assets			Total		Investments
Residential mortgage-backed securities		140		(3	)		137		2,585

Commercial mortgage-backed securities		139		(41	)		98		4,013

Asset-backed securities		54		-			54		2,447

ABSs - Other		84		15			99		2,552
Total		417		(28	)		389		11,596

Summary of Amortized Cost and Fair Value of Debt Securities

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, 2019, and December 31, 2018.


2019	Amortized cost		Unrealized gains		Unrealized losses			Total fair value		Fair value of instruments with unrealized gains		Fair value of instruments with unrealized losses
Debt securities, money market instruments and other
United States government		7,443		1,377		(8	)		8,812		8,478		335
Dutch government		4,869		1,448		-			6,316		6,267		49
Other government		8,901		2,989		(17	)		11,872		11,662		210
Mortgage-backed securities		6,366		470		(25	)		6,811		5,773		1,037
Asset-backed securities		3,776		103		(9	)		3,869		2,881		989
Corporate		40,552		4,853		(167	)		45,238		42,801		2,437
Money market investments		5,169		-		-			5,169		4,702		467
Other		976		49		(117	)		908		628		280
Total		78,052		11,289		(345	)		88,995		83,192		5,803

Of which held by Aegon Americas and NL		69,012		10,493		(327	)		79,178		74,025		5,153


2018	Amortized cost		Unrealized gains		Unrealized losses			Total fair value		Fair value of instruments with unrealized gains		Fair value of instruments with unrealized losses
Debt securities, money market instruments and other
United States government		6,973		603		(127	)		7,449		4,772		2,676
Dutch government		4,908		1,136		(3	)		6,040		6,002		38
Other government		11,327		684		(54	)		11,957		11,105		852
Mortgage-backed securities		6,275		366		(84	)		6,557		3,700		2,857
Asset-backed securities		4,948		65		(55	)		4,958		1,825		3,133
Corporate		39,770		1,748		(1,138	)		40,379		21,441		18,939
Money market investments		5,955		-		-			5,955		5,701		254
Other		919		71		(88	)		902		707		194
Total		81,073		4,673		(1,550	)		84,196		55,253		28,943

Of which held by Aegon Americas and NL		72,520		4,336		(1,352	)		75,504		50,976		24,528

Summary of Composition by Industry Category of Available-for-Sale (AFS) Debt Securities, Money Market Investments and Other in an Unrealized Loss Position

The composition by industry category of Aegon’s

available-for-sale

(AFS) debt securities, money market investments and other in an unrealized loss position at December 31, 2019, and December 31, 2018, is presented in the following table:


	December 31, 2019					December 31, 2018
Unrealized losses - debt securities, money market investments and other	Carrying value of instruments with unrealized losses		Unrealized losses			Carrying value of instruments with unrealized losses		Unrealized losses

Residential mortgage-backed securities (RMBSs)		413		(18	)		446		(30	)

Commercial mortgage-backed securities (CMBSs)		494		(6	)		2,012		(45	)

Asset-backed securities (ABSs) - CDOs backed by

ABS, Corp. bonds, Bank loans		662		(5	)		2,088		(42	)

ABSs - Other		242		(4	)		829		(10	)

Financial Industry - Banking		349		(20	)		2,522		(106	)

Financial Industry - Insurance		104		(5	)		646		(36	)

Financial Industry - Other		615		(15	)		1,523		(69	)

Industrial		1,293		(105	)		10,073		(684	)

Utility		249		(10	)		1,258		(78	)

Government		453		(23	)		2,935		(164	)

Other		279		(117	)		194		(88	)

Total held by Aegon Americas and NL		5,153		(327	)		24,528		(1,352	)

Held by other segments		650		(18	)		4,415		(197	)

Total		5,803		(345	)		28,943		(1,550	)

Summary of Breakdown of RMBS Available-for-Sale (AFS) Portfolio

The following table shows the breakdown of Aegon America’s RMBS

available-for-sale

(AFS) portfolio.


AFS RMBS by quality	AAA		AA		A		BBB		<BBB		Total amortized cost		Total fair value

GSE guaranteed		735		43		-		-		-		778		782

Prime jumbo		6		16		1		2		32		56		62

Alt-A		48		59		15		10		242		373		462

Negative amortization floaters		-		2		-		9		382		394		468

Other housing		2		9		2		7		317		337		449

At December 31, 2019		790		129		18		28		973		1,938		2,222

Of which insured		-		-		16		4		88		109		100


AFS RMBS by quality	AAA		AA		A		BBB		<BBB		Total amortized cost		Total fair value

GSE guaranteed		450		149		-		-		-		599		599

Prime jumbo		-		16		1		5		98		120		124

Alt-A		-		59		17		5		221		301		397

Negative amortization floaters		-		1		-		11		438		450		533

Other housing		-		13		4		16		333		366		450

At December 31, 2018		450		238		22		36		1,089		1,836		2,102

Of which insured		-		-		20		5		99		124		113

Summary of Credit Quality of Available-For-Sale (AFS) CMBS Portfolio

The tables below summarize the credit quality of Aegon Americas’

available-for-sale

(AFS) CMBS portfolio. Additionally, as of December 31, 2019, Aegon Americas has no investments in CMBS (December 31, 2018: EUR nil), which are classified as fair value through profit or loss.



CMBS by quality	AAA	AA	A	BBB	<BBB	Total amortized cost	Total fair value

CMBS	2,540	639	109	7	29	3,323	3,427

At December 31, 2019	2,540	639	109	7	29	3,323	3,427


CMBS by quality	AAA		AA		A		BBB		<BBB		Total amortized cost		Total fair value

CMBS		2,635		567		65		3		57		3,326		3,310

CMBS and CRE CDOs		-		-		-		-		5		5		4

At December 31, 2018		2,635		567		65		3		62		3,331		3,314

Summary of Breakdown of Quality of Available-for-Sale (AFS) ABS Portfolio

The breakdown by quality of the

available-for-sale

(AFS) ABS portfolio of Aegon Americas and Aegon the Netherlands is as follows:


ABS US and NL	AAA		AA		A		BBB		<BBB		Total amortized cost		Total fair value
Credit cards		66		1		-		-		-		67		77
Autos		147		-		72		2		-		220		222
Small business loans		-		-		2		6		13		21		21
CDOs backed by ABS, Corp. bonds, Bank loans		1,201		229		45		42		49		1,567		1,569
Other ABS		429		98		760		104		9		1,400		1,444
At December 31, 2019		1,843		329		878		154		71		3,274		3,332


ABS US and NL	AAA		AA		A		BBB		<BBB		Total amortized cost		Total fair value
Credit cards		174		19		-		-		-		193		201
Autos		230		-		58		2		-		290		289
Small business loans		-		-		2		12		46		60		63
CDOs backed by ABS, Corp. bonds, Bank loans		1,535		479		216		146		46		2,423		2,386
Other ABS		525		151		774		88		8		1,547		1,563
At December 31, 2018		2,464		649		1,051		248		100		4,512		4,503

Summary of Composition by Maturity of all Available-for-Sale Debt Securities in an Unrealized Loss Position

The table below shows the composition by maturity of all

available-for-sale

debt securities in an unrealized loss position held by Aegon Americas and Aegon the Netherlands.


	December 31, 2019					December 31, 2018
Debt securities	Carrying value of securities with gross unrealized losses		Gross unrealized losses			Carrying value of securities with gross unrealized losses		Gross unrealized losses
One year or less		247		(1	)		643		(18	)
Over 1 through 5 years		983		(26	)		5,545		(120	)
Over 5 through 10 years		1,175		(47	)		9,575		(446	)
Over 10 years		2,002		(135	)		8,317		(680	)
Total		4,407		(210	)		24,080		(1,264	)

Summary of Composition by Credit Quality of Debt Securities, Available-for-Sale, in an Unrealized Loss Position

The table below shows the composition by credit quality of debt securities,

available-for-sale,

in an unrealized loss position held by Aegon Americas and Aegon the Netherlands.


	December 31, 2019					December 31, 2018
Debt securities	Carrying value of securities with unrealized losses		Unrealized losses			Carrying value of securities with unrealized losses		Unrealized losses
AAA		1,340		(10	)		6,318		(186	)
AA		452		(8	)		1,468		(48	)
A		662		(13	)		5,345		(181	)
BBB		1,345		(58	)		8,881		(578	)
BB		181		(17	)		920		(90	)
B		186		(25	)		742		(87	)
Below B		240		(78	)		407		(95	)
Total		4,407		(210	)		24,080		(1,264	)

Summary of Available-for-Sale Debt Securities With Unrealized Losses by Investment and Length of Time Individual Securities

The table below provides the length of time an

available-for-sale

security has been below cost and the respective unrealized loss.


	At December 31, 2019
Debt securities	Investment grade carrying value of securities with unrealized losses		Below investment grade carrying value of securities with unrealized losses		Investment grade unrealized loss			Below investment grade unrealized loss
0 – 6 months		2,178		132		(35	)		(7	)
6 – 12 months		128		45		(2	)		(4	)
> 12 months		1,493		432		(52	)		(110	)
Total		3,799		608		(89	)		(121	)


	At December 31, 2018
Debt securities	Investment grade carrying value of securities with unrealized losses		Below investment grade carrying value of securities with unrealized losses		Investment grade unrealized loss			Below investment grade unrealized loss
0 – 6 months		8,354		977		(227	)		(58	)
6 – 12 months		9,976		609		(504	)		(96	)
> 12 months		3,681		483		(261	)		(119	)
Total		22,012		2,069		(992	)		(272	)

The unrealized loss increased during 2019 due mainly to widening credit spreads and increasing US Treasury rates.

Aging and severity unrealized losses

The table below provides the length of time a below investment grade security has been in an unrealized loss and the percentage of carrying value (CV) to amortized cost in Aegon Americas and Aegon the Netherlands.


			2019					2018
Aging and severity unrealized losses debt securities	Carrying value		Unrealized losses			Carrying value		Unrealized losses

CV 70-100% of amortized cost		131		(6	)		970		(53	)

CV 40-70% of amortized cost		1		(1	)		7		(5	)

CV < 40% of amortized cost		-		-			-		-

0-6 months		132		(7	)		977		(58	)

CV 70-100% of amortized cost		43		(3	)		577		(76	)

CV 40-70% of amortized cost		1		(1	)		31		(18	)

CV < 40% of amortized cost		-		-			-		(1	)

6-12 months		45		(4	)		609		(96	)

CV 70-100% of amortized cost		175		(21	)		143		(21	)

CV 40-70% of amortized cost		33		(22	)		8		(5	)

CV < 40% of amortized cost		4		(9	)		1		(2	)

12-24 months		213		(52	)		151		(28	)

CV 70-100% of amortized cost		192		(24	)		265		(34	)

CV 40-70% of amortized cost		13		(9	)		58		(43	)

CV < 40% of amortized cost		14		(25	)		8		(13	)

> 24 months		219		(58	)		331		(90	)
Total		608		(121	)		2,069		(272	)

Summary of Realized Gains and Losses on Debt Securities

The following table provides the realized gains and losses on the debt securities of Aegon Americas and Aegon the Netherlands for the twelve months ended December 31, 2019, and December 31, 2018.


Gross realized gains and (losses)	Gross realized gains	Gross realized losses

December 31, 2019

Debt securities	405	(66	)

December 31, 2018

Debt securities	156	(378	)

Summary of Length of Time Security and Respective Realized Loss

The table below provides the length of time the security was below cost prior to the sale and the respective realized loss for assets not considered impaired.


	Gross realized losses
	0 -12 months			>12 months			Total

December 31, 2019

Debt securities		(32	)		(34	)		(66	)

December 31, 2018

Debt securities		(145	)		(233	)		(378	)

Summary of Composition of Impairment Losses and Recoveries

The composition of Aegon Americas and Aegon the Netherlands’ bond impairment losses and recoveries by issuer for the periods ended December 31, 2019, and December 31, 2018, is presented in the table below. Those issuers with impairments or recoveries above EUR 25 million are specifically noted.


	2019			2018
	(Impairment) / recovery			(Impairment) / recovery
Impairments:

Other (none individually greater than EUR 25 million)		(49	)		(24	)

Subtotal		(49	)		(24	)


Recoveries:

Total recoveries		66			34

Sub-total		66			34



Net (impairments) and recoveries		17			10

Summary of Financial Assets that are Either Past Due or Impaired


	2019								2018
Past due but not impaired assets	0-6 months		6-12 months		> 1 year		Total		0-6 months		6-12 months		> 1 year		Total

Debt securities - carried at fair value		70		21		10		101		108		121		48		277

Mortgage loans		198		3		-		201		192		22		2		215

Other loans		35		4		4		43		41		2		2		45

Accrued interest		1		-		1		2		3		3		-		6

Other financial assets - carried at fair value		22		-		-		22		-		-		-		-

At December 31		326		28		16		370		344		148		52		544


Impaired financial assets	Carrying amount 2019	Carrying amount 2018

Shares	30	33

Debt securities - carried at fair value	945	1,085

Mortgage loans	58	122

Other loans	3	3

Other financial assets - carried at fair value	4	5
At December 31	1,039	1,247

Summary of Unrealized Gains and Losses on Share Positions

The table below represents the unrealized gains and losses on share positions held by Aegon Americas and Aegon the Netherlands.


	Cost basis		Carrying value		Net unrealized gains / (losses)		Carrying value of securities with gross unrealized gains		Gross unrealized gains		Carrying value of securities with gross unrealized losses		Gross unrealized losses
December 31, 2019 Shares		290		312		23		254		47		58		(24	)
December 31, 2018
Shares		371		391		20		304		40		86		(20	)

Summary of Composition of Shares by Industry Sector in Unrealized Loss Position

The composition of shares by industry sector in an unrealized loss position held by Aegon Americas and Aegon the Netherlands at December 31, 2019, and December 31, 2018 is presented in the following table.


	2019					2018
Unrealized losses on shares	Carrying value of instruments with unrealized losses		Unrealized losses			Carrying value of instruments with unrealized losses		Unrealized losses
Financials		28		(10	)		49		(15	)
Other		30		(14	)		37		(6	)
Total		58		(24	)		86		(20	)

Summary of Shares Cost Prior to Impairment

The table below provides the length of time the shares held by Aegon Americas and Aegon the Netherlands were below cost prior to their impairment in 2019 and 2018.


In million EUR	0- 6 months
2019 Shares	(2	)
2018 Shares	(5	)

Summary of General Account Equity Real Estate and Other Non-fixed-income Portfolio

The general account equity, real estate and other

non-fixed-income

portfolio of Aegon is as follows:


Equity, real estate and non-fixed income exposure	Americas		The Netherlands		United Kingdom		Southern & Eastern Europe		Asia		Asset Manage- ment		Holding and other activities		Total 2019

Equity funds		161		35		-		63		-		-		-		259

Common shares 1)		130		-		17		4		11		2		94		258

Preferred shares		208		-		-		-		-		-		70		279

Investments in real estate		653		2,229		-		19		-		-		-		2,901

Hedge funds		699		-		-		-		-		2		-		702

Other alternative investments		1,366		405		-		-		-		-		17		1,787

Other financial assets		1,055		1,080		874		10		-		1		-		3,020

At December 31		4,272		3,750		891		96		11		6		181		9,205

1	Common shares in Holding and other activities includes the elimination of treasury shares in the general account for an amount of EUR nil million.


Equity, real estate and non-fixed income exposure	Americas		The Netherlands		United Kingdom		Southern & Eastern Europe		Asia		Asset Manage- ment		Holding and other activities		Total 2018

Equity funds		141		196		-		63		-		-		-		401

Common shares 1)		203		-		3		6		7		1		66		287

Preferred shares		187		-		-		-		-		-		46		233

Investments in real estate		530		2,150		-		21		-		-		-		2,700

Hedge funds		678		1		-		-		-		2		-		681

Other alternative investments		1,206		438		-		-		-		-		22		1,666

Other financial assets		555		832		1,046		9		-		1		-		2,443

At December 31		3,501		3,617		1,050		99		7		5		134		8,412

1	Common shares in Holding and other activities includes the elimination of treasury shares in the general account for an amount of EUR nil million.

Summary of Market Risk Concentrations in Shares


Market risk concentrations – shares	Americas		The Netherlands		United Kingdom		Southern & Eastern Europe		Asia		Asset Manage- ment		Total 2019 1)		Of which impaired assets

Communication		26		-		-		-		-		-		32		-

Consumer		7		-		-		-		-		-		9		2

Financials		416		3		-		3		11		2		455		1

Funds		-		1,440		17		63		-		-		1,616		19

Industries		21		-		-		-		-		1		22		4

Other		29		-		-		7		-		2		88		2

At December 31		499		1,443		17		74		11		5		2,221		30

1	Includes investments of Holding and other activities.


Market risk concentrations – shares	Americas		The Netherlands		United Kingdom		Southern & Eastern Europe		Asia		Asset Manage- ment		Total 2018 1)		Of which impaired assets

Communication		26		-		-		-		-		-		32		-

Consumer		6		-		-		-		-		-		7		-

Financials		466		3		-		3		7		-		491		3

Funds		-		1,410		3		69		-		-		1,558		26

Industries		19		-		-		-		-		-		19		-

Other		15		-		-		2		-		4		54		3

At December 31		532		1,412		3		74		7		4		2,161		33

1	Includes investments of Holding and other activities.

Summary of Closing Levels of Certain Major Indices

The table that follows sets forth the closing levels of certain major indices at the end of the last five years.


	2019		2018		2017		2016		2015

S&P 500		3,231		2,507		2,674		2,239		2,044

Nasdaq		8,973		6,635		6,903		5,383		5,007

FTSE 100		7,542		6,728		7,688		7,143		6,242

AEX		605		488		545		483		442

Summary of Sensitivity Analysis of Net Income and Shareholders' Equity to Equity Markets


Immediate change of	Estimated approximate effects on net income			Estimated approximate effects on shareholders’ equity
2019

Equity increase 10%		307			450

Equity decrease 10%		(374	)		(525	)

Equity increase 25%		721			1,083

Equity decrease 25%		(456	)		(837	)

2018

Equity increase 10%		293			405

Equity decrease 10%		(273	)		(379	)

Equity increase 25%		789			1,069

Equity decrease 25%		(308	)		(562	)

Schedule of Interest Rate

The following table shows interest rates at the end of each of the last five years.



	2019			2018			2017			2016			2015

3-month US LIBOR		1.91	%		2.81	%		1.69	%		1.00	%		0.61	%

3-month EURIBOR		(0.38	%)		(0.31	%)		(0.33	%)		(0.32	%)		(0.13	%)

10-year US Treasury		1.91	%		2.69	%		2.41	%		2.43	%		2.27	%

10-year Dutch government		(0.06	%)		0.39	%		0.53	%		0.35	%		0.79	%

Schedule of Parallel Movement of Yield Curve


Parallel movement of yield curve	Estimated approximate effects on net income			Estimated approximate effects on shareholders’ equity

2019
Shift up 100 basis points		945			(2,688	)

Shift down 100 basis points		(1,236	)		1,847

2018
Shift up 100 basis points		(677	)		(3,892	)

Shift down 100 basis points		1,188			2,819

Summary of Information on Three Year Historical Net Income (Loss) and Shareholders' Equity

Information on Aegon’s three year historical net income/(loss) and shareholders’ equity in functional currency are shown in the table below:


	2019			2018		2017
Net income

Americas (in USD)		1,323			61		1,762
United Kingdom (in GBP)		(29	)		35		71

Equity in functional currency
Americas (in USD) 1)		18,117			15,111		17,617
United Kingdom (in GBP)		1,358			1,671		1,905

Summary of Exchange Rates of US Dollar and UK Pound per Euro

The exchange rates for US dollar and UK pound per euro for each of the last five year ends are set forth in the table below:


Closing rates	2019		2018		2017		2016		2015
USD		1.12		1.14		1.20		1.05		1.09
GBP		0.85		0.90		0.89		0.85		0.74

Schedule of Sensitivity Analysis of Net Income and Shareholders' Equity

Sensitivity analysis of net income and shareholders’ equity to translation risk


Movement of currency exchange rates 1)	Estimated approximate effects on net income			Estimated approximate effects on shareholders’ equity
2019
Increase by 15% of USD currencies relative to the euro		203			2,528
Increase by 15% of GBP currencies relative to the euro		(11	)		241
Increase by 15% of non-euro currencies relative to the euro		211			2,906
Decrease by 15% of USD currencies relative to the euro		(158	)		(1,830	)
Decrease by 15% of GBP currencies relative to the euro		9			(163	)
Decrease by 15% of non-euro currencies relative to the euro		(150	)		(2,094	)

2018
Increase by 15% of USD currencies relative to the euro		1			1,909
Increase by 15% of GBP currencies relative to the euro		4			269
Increase by 15% of non-euro currencies relative to the euro		20			2,301
Decrease by 15% of USD currencies relative to the euro		3			(1,389	)
Decrease by 15% of GBP currencies relative to the euro		(2	)		(179	)
Decrease by 15% of non-euro currencies relative to the euro		(9	)		(1,659	)

Summary of Maturity Analysis Gross Undiscounted Contractual Cash Flows


Maturity analysis – gross undiscounted contractual cash flows (for non-deriva tives)	On demand		< 1 yr amount		1 < 5 yrs amount		5 < 10 yrs amount		> 10 yrs amount		Total amount
2019
Trust pass-through securities		-		9		36		106		67		218
Subordinated loans		-		109		437		347		3,077		3,971
Borrowings		-		3,967		4,202		1,109		1,119		10,397
Investment contracts 1)		14,281		1,930		1,888		1,001		795		19,895
Investment contracts for account of policyholders 1)		32,463		26,298		6		3		2		58,772
Lease liabilities		-		51		120		66		92		331
Other financial liabilities		4,867		2,713		313		96		257		8,245
Total financial liabilities (excluding investment/insurance contracts)		4,867		6,798		4,988		1,658		4,520		22,831
2018
Trust pass-through securities		-		9		36		110		69		223
Subordinated loans		-		66		266		201		1,400		1,933
Borrowings		-		1,713		8,136		1,499		2,825		14,174
Investment contracts 1)		13,305		1,439		1,831		985		1,517		19,077
Investment contracts for account of policyholders 1)		29,360		19,670		20		26		91		49,166
Other financial liabilities		5,849		2,445		81		45		38		8,457
Total financial liabilities (excluding investment/ insurance contracts)		5,849		4,234		8,519		1,854		4,332		24,787

Summary of Financial Liabilities Relating to Insurance and Investment Contracts

The cash benefit payments are presented on an undiscounted basis and are before deduction of tax and before reinsurance.


Financial liabilities relating to insurance and investment contracts 1)	On demand	< 1 yr amount	1 < 5 yrs amount	5 < 10 yrs amount	> 10 yrs amount	Total amount
2019
Insurance contracts	-	3,500	13,003	15,668	119,044	151,216
Insurance contracts for account of policyholders	-	9,666	36,782	36,571	130,299	213,318
Investment contracts	-	8,857	5,837	2,503	4,347	21,544
Investment contracts for account of policyholders	181	10,311	28,244	31,766	81,024	151,527
	181	32,335	83,868	86,508	334,714	537,605
2018
Insurance contracts	-	5,255	17,147	17,891	126,514	166,807
Insurance contracts for account of policyholders	-	8,382	35,238	36,455	130,475	210,550
Investment contracts	-	6,679	6,985	2,739	5,087	21,490
Investment contracts for account of policyholders	169	8,839	23,185	28,747	64,185	125,125
	169	29,155	82,556	85,831	326,261	523,972

The liability amount in the consolidated financial statements reflects the discounting for interest as well as adjustments for the timing of other factors as described above. As a result, the sum of the cash benefit payments shown for all years in the table exceeds the corresponding liability amounts included in notes 34 Insurance contracts and 35 Investments contracts.

Summary Of Maturity Analysis For Derivative Financial Instruments

The following table details the Group’s liquidity analysis for its derivative financial instruments, based on the undiscounted contractual net cash inflows and outflows on derivative instruments that settle on a net basis, and the undiscounted gross inflows and outflows on those derivatives that require gross settlement.


Maturity analysis relating to derivatives 1) (Contractual cash flows)	On demand	< 1 yr amount		1 < 5 yrs amount		5 < 10 yrs amount		> 10 yrs amount		Total amount
2019

Gross settled
Cash inflows	-	17,162		3,098		4,470		11,628		36,357
Cash outflows	-	(17,056	)	(2,922	)	(3,570	)	(10,071	)	(33,619	)

Net settled
Cash inflows	-	865		3,091		3,537		6,798		14,292
Cash outflows	-	(983	)	(2,594	)	(2,832	)	(7,716	)	(14,126	)
2018

Gross settled
Cash inflows	-	23,453		8,092		11,323		21,233		64,101
Cash outflows	-	(23,143	)	(7,351	)	(10,832	)	(20,816	)	(62,141	)

Net settled
Cash inflows	-	156		709		982		2,230		4,078
Cash outflows	-	(66	)	(288	)	(516	)	(5,743	)	(6,614	)

Derivatives includes all financial derivatives regardless whether they have a positive or a negative value. It does not include bifurcated embedded derivatives. These are presented together with the host contract. For interest rate derivatives only, cash flows related to the pay leg are taken into account for determining the gross undiscounted cash flows.

Life insurance general account [member]

Statement [LineItems]

Summary of Financial Liabilities Relating to Insurance and Investment Contracts


Movements during the year in reinsurance assets relating to life insurance:	Life insurance general account			Life insurance for account of policyholders			Total life insurance
At January 1, 2019		18,712			2			18,714
Gross premium and deposits – existing and new business		2,170			-			2,170
Unwind of discount / interest credited		887			-			887
Insurance liabilities released		(3,028	)		-			(3,028	)
Fund charges released		(85	)		-			(85	)
Changes to valuation of expected future benefits		(16	)		-			(16	)
Net exchange differences		369			-			369
Disposal of a business		-			(2	)		(2	)
Transfer to/from insurance contracts		22			-			22

Other movements		16			-			16
At December 31, 2019		19,046			-			19,046

At January 1, 2018		17,419			2			17,421
Gross premium and deposits – existing and new business		2,038			3			2,041
Unwind of discount / interest credited		860			-			860
Insurance liabilities released		(2,518	)		(3	)		(2,521	)
Fund charges released		(82	)		-			(82	)
Changes to valuation of expected future benefits		109			-			109
Policy transfers		25			-			25
Net exchange differences		858			-			858

Other movements		2			-			2
At December 31, 2018		18,712			2			18,714

Non-life insurance [member]

Statement [LineItems]

Summary of Financial Liabilities Relating to Insurance and Investment Contracts


Movements during the year in reinsurance assets relating to non-life insurance:	2019			2018
At January 1		1,356			1,327
Gross premium and deposits – existing and new business		99			84
Unwind of discount / interest credited		88			84
Insurance liabilities released		(127	)		(123	)
Changes in unearned premiums		(30	)		(28	)
Incurred related to current year		80			77
Incurred related to prior years		56			36
Release for claims settled current year		(23	)		(18	)
Release for claims settled prior years		(124	)		(130	)
Change in IBNR		(19	)		12
Shadow accounting adjustment		-			(24	)
Net exchange differences		25			65

Other movements		(4	)		(8	)
At December 31		1,376			1,356

Financial assets at amortised cost, class [member]

Statement [LineItems]

Summary of Credit Risk Rating Grades

The table below details the credit risk rating grades, as of December 31, 2019, for financial assets with cash flows that are SPPI, excluding any financial assets that meet the definition of held for trading in IFRS 9, or that are managed and whose performance is evaluated on a fair value basis. The tables show the carrying value of those financial assets applying IAS 39 (in the case of financial assets measured at amortized cost, before adjusting for any impairment allowances).


SPPI compliant financial assets at carrying value	AAA		AA		A		BBB		BB		B		CCC or lower		Not Rated		Total
2019
Shares – Carried at fair value		-		-		-		43		27		-		-		-		70
Debt securities – Carried at fair value		26,723		8,989		20,112		22,296		1,364		1,244		1,283		3		82,014
Money market and other short-term investments – carried at fair value		255		193		2,164		112		-		-		-		-		2,724
Mortgage loans – Carried at amortized cost		1,311		3,671		3,580		369		15		4		-		29,574		38,524
Private loans – Carried at amortized cost		1,799		82		198		970		49		-		-		1,383		4,479
Other financial assets – Carried at fair value		-		-		57		10		33		38		-		40		177

At December 31		30,088		12,933		26,111		23,800		1,487		1,285		1,283		31,000		127,988
2018
Shares – Carried at fair value		-		-		-		42		9		17		-		-		68
Debt securities – Carried at fair value		25,637		9,224		17,057		20,330		1,480		1,159		1,395		-		76,283
Money market and other short-term investments – carried at fair value		55		158		2,561		351		-		-		-		-		3,126
Mortgage loans – Carried at amortized cost		941		3,204		3,567		266		15		-		-		28,647		36,639
Private loans – Carried at amortized cost		1,611		83		261		924		52		-		-		1,136		4,068
Other financial assets – Carried at fair value		-		-		64		12		44		61		1		70		252

At December 31		28,244		12,670		23,510		21,925		1,601		1,237		1,396		29,853		120,436