Aegon SAECURE 14 NHG Investor Presentation

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An update on the Dutch residential housing market and mortgage business.

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Aegon SAECURE 14 NHG Investor Presentation

  1. 1. SAECURE 14 NHG An Update on the Residential Mortgage Business Information for investors March 2014
  2. 2. 2 Disclaimer This material has been prepared solely on the basis of information provided by Aegon Levensverzekering N.V. (“Aegon Leven”) and Aegon Hypotheken B.V. (“Aegon Hypotheken”, and together with Aegon Leven, “Aegon” or the “Company”). This material is distributed upon the express understanding that no information contained herein has been independently verified by Citibank International plc as arranger (the “Arranger”), ABN AMRO Bank N.V., Bank of America Merrill Lynch, BNP Paribas, London Branch, Citibank International plc and The Royal Bank of Scotland plc, the joint lead managers in respect of the Class A Notes, together and with the Arranger, the “Managers” or any other person. Although the information in this material has been obtained from/of sources which the Company and the Managers believe to be reliable, the Managers and the Company make no representation or warranty (express or implied) of any nature, nor do they accept any responsibility or liability of any kind, with respect to the accuracy or completeness of any of the information or opinions in the material. However this shall not restrict, exclude, or limit any duty or liability to any person under any applicable laws or regulations of any jurisdiction which may not lawfully be disclaimed. The Company and the Managers will not be responsible for the consequences of reliance upon any opinion or statement contained herein or for any omission. This material has been prepared for information purposes only and it does not constitute a prospectus or offering document in whole or in part. The terms of the offering are qualified in their entirety by such a prospectus (the “Prospectus”) which will be issued in respect of the securities (the “Securities”) described in this material and which is expected to be approved by the Dutch Authority for the Financial Markets (the “AFM”) on or prior to the issuance date of the Securities. The information contained in this material does not constitute an offer of securities to the public for the purposes of any law or regulation implementing Directive 2003/71/EC and any amendment thereto, including Directive 2010/73/EU (together, the “Prospectus Directive”), to the extent implemented in each Member State of the European Economic Area ("Member State") that has implemented the Prospectus Directive. The information contained herein is confidential and is intended for use only by the intended recipient(s) (each a “Recipient”). This material is not intended for U.S investors. Neither this material nor any copy of it may be taken or transmitted into the United States of America, its territories or possessions (collectively, the “United States”) directly or indirectly. Any failure to comply with these restrictions may constitute a violation of U.S. or other securities laws, as applicable. This material and all information contained herein is being provided to you solely for your review during a road show presentation. This material is provided on the basis of your acceptance of the terms of this disclaimer. This material was prepared in order to indicate, on a preliminary basis, the feasibility of a possible transaction and does not carry any right of publication or disclosure to any other person. Neither this material nor any of its contents may be used for any other purpose without the prior written consent of SAECURE 14, the Company and the Managers. If this material has been made available to you in an electronic form, you are reminded that documents transmitted via this medium may be altered or changed during the process of electronic transmission and consequently neither SAECURE 14 NHG B.V. ("SAECURE 14"), the Company, the Managers nor any subsidiaries, affiliates or ultimate holding companies, nor any of the subsidiaries or affiliates of such holding companies, nor any of the respective directors, officers, employees, advisors, representatives or agents of any of the foregoing (together, “Related Parties”) accepts any liability or responsibility whatsoever in respect of any difference between the document distributed to you in electronic format and the hard copy version available to you on request from any of the Managers. NOT FOR DISTRIBUTIONTO ANY U.S. PERSON (AS DEFINED BELOW) OR TO ANY PERSON OR ADDRESS IN THE US The Securities have not been and will not be registered under the U.S. Securities Act of 1933, as amended (the “Securities Act”) or with any securities regulatoryauthority of any state or other jurisdiction of the United States and may not be offered, sold or delivered, directlyor indirectly, in the United States or to, or for the account or benefit of, U.S. Persons (as defined in Regulation S under the Securities Act, "U.S. Person"). This material is being distributed only to, and is directed only (i) at persons in Member States who are "qualified investors" within the meaning of Article 2(1)(e) of the Prospectus Directive and (ii) in the United Kingdom of Great Britain and Northern Ireland (the UK), at qualified investors (a) who have professional experience in matters relating to investments falling within Article 19(5) of the Financial Services and Markets Act 2000 (Financial Promotion) Order 2005 (the "Order") and qualified investors falling within Article 49 of the Order, and (b) to whom this material may otherwise be lawfully communicated . This document must not be acted on or relied on by, nor are the Securities herein referred to available to any other persons. This material is not available to any persons who are subject to US securities laws and it should not be distributed in the US or to any U.S. person nor in any jurisdiction in which its distribution would be prohibited. By reviewing this material each Recipient represents that it is a person into whose possession the material can be lawfully delivered in accordance with the laws of the jurisdiction in which the Recipient is located and that the Recipient may not, nor is it authorised to, deliver this document to any other person. The proposed structure and facilities described in this material are indicative, are meant to develop over time, and are subject to, amongst others, final approval of SAECURE 14 and the Company, satisfactory documentation and relevant contracts, satisfactory legal, tax and accountancy opinions, satisfactory valuation of the underlying assets and due diligence. Material information may have changed since the date the information was compiled in this material. Any historical information is not indicative of future performance. Opinions and estimates may be changed without notice and involve a number of assumptions which may not prove valid. Average lives of and potential yields on any securities cannot be predicted as the actual rate of repayment as well as other relevant factors cannot be determined precisely. No assurance can be or is given that the assumptions on which such information are made will prove correct. Information of this kind must be viewed with caution.
  3. 3. 3 Disclaimer This material contains “forward-looking statements”. Such forward-looking statements involve known and unknown risks, uncertainties and other important factors that could cause the actual results, performance of the Securities, the Company or the Dutch residential mortgage loan industry to be materially different from future results, performance or achievements expressed or implied by such forward-looking statements. Such forward-looking statements are based on numerous assumptions regarding the Company's present and future business strategies and the environment in which the Company will operate in the future. By their nature, forward-looking statements involve risks and uncertainties because they relate to events and depend on circumstances that may or may not occur in the future. None of SAECURE 14, the Company, the Managers nor their Related Parties have attempted to verify any such statements, nor do they make any representations, express or implied, with respect thereto, nor do they accept any obligation to update the forward-looking statements contained herein to reflect actual results, changes in assumptions, or changes in factors affecting these statements. This material is published solely for informational purposes and is not to be construed as a solicitation or an offer to buy or sell the Securities or any other securities or any interest in any securities, and nothing herein should be construed as a recommendation or advice to invest in any securities. It has no regard to the specific investment objectives, financial situation or particular needs of any Recipient. No representation or warranty, either express or implied or undertaking of any nature, is provided by the Managers, SAECURE 14 or the Company in relation to the accuracy, completeness or reliability of the information contained herein. It should not be regarded by Recipients as a substitute for the exercise of their own judgement. Any opinions expressed in this material are subject to change without notice and none of SAECURE 14, the Company, nor the Managers are under any obligation to update or keep current the information contained herein. In addition, institutions mentioned in this material and their Related Parties may make purchases and/or sales as principal or agent or may act as market maker or provide investment banking or other services in respect of the Securities and/or the transactions described in this material (the "Transactions"). None of SAECURE 14, the Company, the Managers nor their respective Related Parties are acting as advisers to, nor owe any fiduciary duty to any Recipient. This material does not purport to identify all of the risks associated with the Transaction(s). None of SAECURE 14, the Company, the Managers nor any of their respective Related Parties makes any representation regarding the provision of advice to any Recipient concerning the appropriate legal treatment, regulatory treatment, accounting treatment or possible tax consequences of an investment in the Securities. Each Recipient of this material should make its own independent evaluation of the Transaction(s) and the risks thereof, and of the relevance and adequacy of the information in this material and should make other investigations as it deems necessary, and consult its own legal, regulatory, tax, business, investment, financial and accounting advisers to the extent that you deem it necessary, and make your own investment, hedging and trading decisions (including decisions regarding the suitability of the Securities) based upon your own judgement and advice from such advisers as you deem necessary and not upon any view expressed in this material. In particular, each Recipient should first read the Prospectus prior to making an investment decision and should base such investment decision solely upon the information contained in the Prospectus. Once approved by the AFM, the Prospectus will be available from the Managers. Reproduction and/or redistribution of this material (in whole or in part) is strictly prohibited and none of SAECURE 14, the Company, the Managers nor their respective Related Parties accept any liability whatsoever for the actions of third parties in this respect. INTERNAL REVENUE SERVICE CIRCULAR 230 DISCLOSURE PURSUANT TO INTERNAL REVENUE SERVICE CIRCULAR 230, PERSONS ARE HEREBY INFORMED THAT ANY DESCRIPTION SET FORTHHEREIN WITH RESPECT TO U.S. FEDERAL TAX ISSUES WAS NOT INTENDED OR WRITTENTO BE USED, AND SUCH DESCRIPTION CANNOT BE USED BY ANY TAXPAYER FOR THE PURPOSE OF AVOIDING ANY PENALTIES THAT MAY BE IMPOSED ON THE TAXPAYER UNDER THE U.S. INTERNAL REVENUE CODE. ANY SUCH DESCRIPTION WAS WRITTENTO SUPPORT THE PROMOTION OR MARKETING OF THE CLASS A NOTES. TAXPAYERS SHOULD SEEK ADVICE BASED ON THE TAXPAYER’S PARTICULAR CIRCUMSTANCES FROM AN INDEPENDENT TAX ADVISOR. Unless otherwise expressly indicated thereon, this material has not been reviewed or approved by any rating agencies or by any regulatory agency.
  4. 4. 4 Content Page  Executive Summary 5  Transaction Overview 8  The Dutch Economy and Housing Market 14  The Dutch Residential Mortgage Market 20  The Dutch RMBS Market in Perspective 35  Aegon‟s Residential Mortgage Loan Origination, Underwriting & Servicing 46  Aegon Highlights 60  Appendix: Portfolio Stratification Tables 64  Appendix: Priority of Payments 86
  5. 5. 5 Executive summary
  6. 6. 6 Highlights of SAECURE 14 NHG  The intention is to offer notes under the SAECURE 14 NHG transaction which will comprise notes denominated in EUR  The issue is collateralised by prime Dutch residential mortgage loans originated and serviced by Aegon Levensverzekering and Aegon Hypotheken, which are 100% indirect subsidiaries of Aegon N.V. (“Aegon NV”)  Historical performance of Aegon's total residential mortgage loan portfolio has been stable over the last ten years  Aegon is one of the top 5 lenders in the Dutch residential mortgage market  Aegon NV is an international life insurance, pension and asset management company based in The Hague, the Netherlands, with businesses in over twenty markets in the Americas, Europe and Asia  As of the cut-off date 31st December 2013, the portfolio outstanding net principal balance was approximately EUR 1,502 million, WA Loan to Market Value of approximately 95.1 % and WA Seasoning of 2.54 years  The static portfolio consists of first and sequentially lower ranking secured, owner occupied, Dutch prime residential mortgage loans with a broad geographical diversification  The portfolio predominantly consists of fixed rate mortgage loans with long reset periods of typically 10 – 20 years exclusively originated by Aegon Leven and Aegon Hypotheken  “Full doc”1 underwriting in line with the Dutch Code of Conduct with respect to the granting of mortgage loans with a focus on affordability  100% of the portfolio relates to mortgage loans that have the benefit of the NHG guarantee 1Full document underwriting is underwriting based on all necessary and verified documentation in accordance with Aegon’s underwriting processes and procedures. All documentation is recorded SAECURE 14 NHG Prime quality collateral Aegon is pleased to announce the proposed issuance of securities by SAECURE 14 NHG B.V. as Issuer
  7. 7. 7 1 Expressed as a percentage of the aggregate of the Class A, B and C Notes 2CPR of [5.0]%, no arrears or losses, no further advances and an assumed call on the First Optional Redemption Date (“FORD”), WALs in the Preliminary Prospectus 3Credit enhancement shown in table does not include excess spread 4NPDs are on the 30th day of each January, April, July & October (Modified Following) until redemption Note: Investors are pointed towards the risk factors section of the Preliminary Prospectus Proposed Note Structure Series Currency Note Size1 Fitch / S&P WAL2 FORD Coupon until FORD Coupon after FORD Credit enhancement 3 Status Class A1 EUR 22.8 % [AAAsf / AAA(sf)] [2.0]yrs 30th Jan 2019 3m Euribor+ []bps 3m Euribor+ []bps [10]% Offered Class A2 EUR 68.2% [AAAsf / AAA(sf)] [4.9]yrs 30th Jan 2019 3m Euribor+ []bps 3m Euribor+ []bps [10]% Offered Class B EUR 4.0% [NR / NR] NA 30th Jan 2019 3m Euribor 3m Euribor [6]% Retained Class C EUR 5.0% [NR / NR] NA 30th Jan 2019 3m Euribor 3m Euribor [1]% Retained Total EUR 100% Class D EUR 1% [NR / NR] NA NA 0% 0% [0]% Retained Main Features of the Class A1 / A2 Notes4 Preliminary capital structure and transaction features Transaction Parties  Application will be made to list the Class A Notes on NYSE Euronext in Amsterdam (Euronext Amsterdam). The other Classes of Notes will not be listed  The First Notes Payment Date (“NPD”) is on 30 April 20144 and the Final Maturity Date is on 30 January 20924  The First Optional Redemption Date (“FORD”) is on 30 January 20194; if the Class A1/A2 Notes are not redeemed on the FORD then the margin will double  Credit enhancement for the Class A1/A2 Notes is provided via subordination ([9]1%), a reserve fund initially funded by the issuance of the Class D Notes ([1]1%), and an annual excess spread of 50 bps (of the Class A – C Notes minus PDL) provided through the swap Credit ratings accurate as of 3 March 2014. Refer to rating agency websites for additional detail Arranger: Citibank International plc Managers and Bookrunners: ABN AMRO, BNP Paribas, BoAML, Citibank International plc, RBS Cash Advance Facility Provider: Bank Nederlandse Gemeenten (AA+/Aaa/AAA) (S/M/F) Issuer Account Bank: Bank Nederlandse Gemeenten (AA+/Aaa/AAA) (S/M/F) Swap Counterparty: BNP Paribas (A+/A2/A+) (S/M/F) Paying Agent and Principal Paying Agent: Deutsche Bank AG (Amsterdam) (A/A2/A+) (S/M/F)
  8. 8. 8 Transaction overview
  9. 9. 9 SAECURE 14 NHG Structure Diagram1 SAECURE 14 NHG transaction structure is typical for Dutch RMBS issues  Dutch Special Purpose Vehicle (“SPV”) owned by an independent foundation („Stichting‟)  Legal title transfer of mortgage loan receivables through silent assignment („stille cessie‟) at closing  Mortgage loan receivables and other rights of the Issuer pledged to the security trustee through pledge agreements  Only receivables from prime Dutch residential mortgage loans originated by Aegon as collateral  No substitution / replenishment2  Interest rate risk hedged through swap agreement SAECURE 14 NHG structure overview SAECURE 14 NHG Transaction Cash Flow Structure Reserve Account Notes A1 A2 B C Sellers (Aegon Leven / Aegon Hypotheken) Issuer SAECURE 14 NHG B.V. D Swap Counterparty (BNP Paribas) Account Bank (N.V. Bank Nederlandse Gemeenten) Cash Advance Facility Provider (N.V. Bank Nederlandse Gemeenten) Note Proceeds Note Proceeds Principal and interest Principal and interest on Mortgage loans Notes proceeds + Deferred Purchase Price 1Source: Preliminary prospectus 2Except for the addition of further advances subject to the additional purchase conditions including annual cap of [1]% of the aggregate Outstanding Principal Amount of portfolio mortgage loans Swap Counterparty (BNP Paribas) Stichting Holding SAECURE 14 NHG B.V. Cash Advance Facility Provider 100% ownership Parallel Debt Notes Issuer Account Agreement Swap Agreement Note Proceeds Trust Deed Mortgage Receivables Purchase Agreement Servicing Agreement MortgageReceivables Purchase Agreement Servicing Agreement Seller and Servicer (Aegon Hypotheken B.V.) Security Trustee Account Bank Noteholders Issuer SAECURE 14 NHG B.V. Seller, Servicer and Sub-Servicer (Aegon Levens- verzekering N.V.) Transfer of title to the Mortgage Receivables
  10. 10. 10 Principal Priority of Payments  The Notes of each Class rank pari passu without any preference or priority among Notes of the same Class. Payments of principal on the Class A2 Notes are (time) subordinated to, inter alia, payments of principal on the Class A1 Notes. Reserve Account (non-amortising)  A Reserve Account (funded by the Class D Notes at closing) at [1.0]% of the principal amount outstanding on the Notes (excluding the Class D Notes) on the Closing Date, will be available  The Reserve Account will be replenished in the interest waterfall up to the target level of [1.0]%, if sufficient revenue funds are available Cash Advance Facility  The maximum facility available amount will be the greater of 1.5% of the principal amount outstanding of the Class A Notes on the relevant calculation date and 1.0 % of the principal amount outstanding of the Class A Notes on the Closing Date  364-day facility, extendable at the discretion of the cash advance facility provider Commingling risk  All borrowers pay into the Seller collection account (held at ABN AMRO (A/A2/A+)1 (S/M/F) by means of direct debit on the first business day of each month  On each Mortgage Collection Payment Date2 each Seller will transfer to the Issuer the scheduled amount of principal and interest and an estimated amount of prepaid principal (120% of the previous month‟s prepayments)  Following an Assignment Notification Event3 and expiry of any applicable grace period, the respective Seller undertakes to immediately notify the borrowers, Aegon Leven as the insurance company and any other relevant party, of the assignment of mortgage loans and the beneficiary rights relating thereto whereafter borrowers will make payments directly to the Issuer Set-off risk  Fitch and S&P have both considered the potential set-off exposure related to life loans4 in determining the credit enhancement levels  Structural features mitigate set-off risk on savings mortgage loans by means of, amongst other things, the participation agreements  Set-off risk applies to 4.9% of loan portfolio at the cut-off date Structural Features Source: Preliminary Prospectus 1Credit rating accurate as of 3 March 2014. Refer to rating agency websites for additional detail. 2The 1st day of each calendar month or next succeeding Business Day 3Please refer to the Prospectus for a description of the Assignment Notification Events 4Life Loans include Life Mortgage Loans and Universal Life Mortgage Loans under which no principal is paid until maturity but instead the borrower pays a premium to Aegon Leven on a monthly basis. These insurance premiums are invested by the insurance company in certain investment funds. It is the intention that the Life Loans will be fully or partially repaid by means of the proceeds of the Life Insurance Policies.
  11. 11. 11 Interest Rate Swap  To hedge the risk of a difference between the rate of interest to be received by the Issuer on the Mortgage Receivables and the rate of interest payable by the Issuer on the Class A Notes (which float over 3-month Euribor), the Issuer will enter into an interest rate swap agreement with BNP Paribas  The Issuer will pay to the Swap Counterparty the scheduled interest proceeds from the Mortgage Receivables minus senior expenses and minus 50bps excess spread applied to the EUR principal amount outstanding of Class A – C Notes  In return, the Swap Counterparty will pay to the Issuer the scheduled interest due on the Class A – C Notes  If any payment made by the Issuer to the Swap Counterparty is less than the amount due to be paid, then the corresponding payment obligation of the Swap Counterparty shall be reduced by an amount equal to such shortfall. Furthermore, certain corrections will be made for savings and construction mortgage loans  Payments to the Swap Counterparty rank senior to the Class A Noteholders pre- and post-enforcement1 Hedging Arrangements Source: Preliminary Prospectus 1Excluding swap termination payments which rank subordinate to the Class A Noteholders pre- and post-enforcement where there has been an Event of Default relating to the swap counterparty or an Additional Termination Event in relation to the credit rating of the Swap Counterparty
  12. 12. 12  Borrowers were at the time of origination, residents of the Netherlands and not employed by a Seller or any of its group companies  First and sequentially lower ranking mortgage loans only  At least one (interest) payment has been made prior to the closing date  No bridge loans  Mortgage loan is fully disbursed or is a fully disbursed construction mortgage loan subject only to the related construction deposit not exceeding 50% of the original outstanding mortgage loan balance  Both floating and fixed interest rates  Interest payments are scheduled to be paid monthly and in arrear by direct debit  No amounts due were overdue or unpaid at cut off date  Where compulsory, the mortgage loan has a life insurance or risk insurance policy attached to it  No mortgage loans have a legal maturity beyond 2089  100% of the portfolio relates to mortgage loans that have the benefit of the NHG guarantee  The aggregate net outstanding principle amount of a mortgage loan does not exceed EUR 1,00,000 and does not exceed the maximum loan amount as stipulated in the relevant NHG conditions2  The mortgage loans did not exceed 110% weighted average original LTMV upon origination SAECURE 14 NHG portfolio highlights Key Portfolio Characteristics (Provisional Portfolio1) Characteristic Value Principal balance EUR 1,574,318,425 Value of saving deposits EUR 72,617,911 Net principal balance EUR 1,501,700,514 Construction deposits EUR 5,731,892 Number of loans 8,030 Number of loan parts 15,637 Average principal balance (borrower) EUR 187,011 Weighted average current interest rate 4.81% Weighted average maturity (in years) 35.5 Weighted average seasoning (in years) 2.54 Weighted average LTMV 95.1% Weighted average LTMV (indexed) 105.1% Weighted average LTFV 105.8% Weighted average LTFV (indexed) 116.9% % NHG 100% Source: Preliminary Prospectus 1Figures relate to provisional pool which has a cut-off date of 31 December 2013. For more detail please refer to the Stratification Tables in the appendix. 2Before 1 July 2009 the limit for NHG mortgages was EUR 265,000. Between 1 July 2009 and 1 July 2012 the limit increased to EUR 350,000. From 1 July 2012 until 1 July 2013 the limit decreased to EUR 320,000. The current maximum loan amount is EUR 290,000 and is expected to decrease to €265,000 from 1 July 2014 onwards. Source: www.rijksoverheid.nl (Official websiteof the Dutch Government) Selected eligibility criteria
  13. 13. 13  No regulatory call  Seller clean up call exercised at 10% (where no Issuer call on FORD)  No mortgage loan is sold or required to be repurchased  No further advances  No debit balance on the PDL  WALs calculated on Actual / 360 basis  Savings and bank savings mortgage loans are assumed to be annuity mortgage loans due to the participation agreements  Linear mortgage loans are assumed to be annuity mortgage loans  No enforcement notice has been served on the Issuer and no Notes Event of Default has occurred Selected Assumptions3 WAL and CPR Analysis CPR Source: Moody‟s Dutch Prime and NHG RMBS Indices and Aegon Investor Reports Possible WAL of Class A1 Notes Possible WAL of Class A2 Notes CPR Assuming Issuer call on FORD Assuming no Issuer call Assuming Issuer call on FORD Assuming no Issuer call 2.5% [3.0] years [3.2] years [5.0] years [18.4] years 5% [2.0] years [2.0] years [4.9] years [13.4] years 10% [1.1] years [1.1] years [4.5] years [8.1] years 15% [0.7] years [0.7] years [4.0] years [5.6] years 20% [0.5] years [0.5] years [3.5] years [4.2] years 25% [0.4] years [0.4] years [3.0] years [3.3] years 30% [0.4] years [0.4] years [2.6] years [2.7] years  The WAL of the Class A1 and Class A2 Notes, assuming1 a CPR of [5.0]% and an Issuer call on the FORD (NPD falling in Jan 20192), is [2.0] years and [5.0] years, respectively Note: Historical performance is not an indicator of future performance which may differ materially Note: The WALs of the notes will be influenced by, among other things, the actual rates of repayment and prepayment of the mortgage loans. The WALs of the Notes cannot be stated, as the actual rates of repayment and prepayment and a number of other relevant factors are unknown. However, calculations of the possible WALs of the Notes can be made based on certain assumptions, some of which are shown above. Source: Preliminary Prospectus 1In addition to the assumptions contained within the Preliminary Prospectus 2NPDs are on the 30th day of each January, April, July & October (Modified Following) until redemption 3Please refer to the Preliminary Prospectus for the full set of assumptions WAL Sensitivity to CPR and Issuer Call at FORD Overview 0% 5% 10% 15% 20% 25% 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 SAECURE Series Actual Annualized CPR SAECURE Series Actual Annualized CPR 12 Month Moving Average SAECURE 14 Assumed Annualized CPR
  14. 14. 14 The Dutch Economy and Housing Market
  15. 15. 15 Note: Historical performance is not an indicator of future performance which may differ materially 12014 and 2015 GDP growth rates are as forecasted by the Dutch Central Bank (DNB) The Dutch economy Highlights of the Dutch economy Source: Eurostat, CPB Unemployment rate comparison Source: Eurostat Evolution of Y-o-Y real GDP growth rate Source: Eurostat Trade balance (% of GDP) Source: OECD  One of the most stable and open economies in Europe with one of the highest GDP per capita ► Y-o-Y real GDP growth rate is forecasted to be 0.5% in 2014 and nearly 1% in 20151 ► Unemployment rate at 7.0% as of December 2013 ► Expected Sovereign debt of 75.6% of GDP and budget deficit of 3.3% in 2014 ► International trade is key driver of economy and future economic growth 1.7% 1.2% 2.4% 3.1% 1 -2.2% 1.7% 11.0% -5.1% 7.0% 12.0% 6.7% 7,2% -6 -4 -2 0 2 4 6 1990 1994 1998 2002 2006 2010 2014 Eurozone Netherlands UK US 0% 2% 4% 6% 8% 10% 12% 14% 1995 1997 1999 2001 2003 2005 2007 2009 2011 2013 Netherlands UK Eurozone US -10 -5 0 5 10 15 1997 1999 2001 2003 2005 2007 2009 2011 2013 Netherlands UK US Eurozone
  16. 16. 16 5 10 15 20 25 30 35 1993 1995 1997 1999 2001 2003 2005 2007 2009 2011 2013 Netherlands UK Germany France US -5 0 5 10 15 1991 1993 1995 1997 1999 2001 2003 2005 2007 2009 2011 2013 Netherlands UK Germany France US Sovereign debt (% of GDP) Source: Bloomberg, IMF1 Deficit (% of GDP) Source: Bloomberg Gross national savings2 (% of GDP) Source: Bloomberg, CIA 5 Year CDS Sovereign Spread (in USD - bps) Source: Bloomberg The Dutch economy (cont’d) 10.8% 13.8% 25.5% 18.5% 23.6% Note: Historical performance is not an indicator of future performance which may differ materially 1IMF forecast figure for 2013 2GNS = GDP – Consumption – Gov Spending 6.7% 4.1% 4.8% -0.2% 6.3% 55.5 27.8 26 28 0 50 100 150 200 250 2008 2009 2010 2011 2012 2013 2014 Netherlands UK Germany France US 40.5 25 35 45 55 65 75 85 95 105 115 1991 1993 1995 1997 1999 2001 2003 2005 2007 2009 2011 2013 Netherlands UK Germany France US 108.1% 92.6% 74.5% 92.7% 80,4%
  17. 17. 17 Gross debt-to-income ratio of households Source: Eurostat Dutch household debt and wealth composition Source: Dutch Central Bank (EUR bn) Dutch household financials  The vast majority of household debt in the Netherlands is residential mortgage debt (EUR 645 bn as at Q3 2013) vs. remaining consumer credit (EUR 25 bn as at Q3 2013)  The incentive for consumers to maximise their mortgage debt (tax incentives) results in relatively high gross debt to income levels compared to other European countries  Dutch household wealth including pension assets far exceeds mortgage debt. Overview Source: Eurostat, Dutch Central Bank 1Deposits include overnight deposits, deposits with agreed maturity and deposits redeemable at notice 1 333 344 360 373 380 743 835 970 1059 1017 143 151 149 149 143 615 632 645 651 645 25 28 27 26 25 2009 2010 2011 2012 2013 (Q3) Consumer Credit Residential Mortgage Debt Life Insurance Pension Assets Deposits 0% 50% 100% 150% 200% 250% 300% France Germany UK Netherlands 83% 85% 133% 250% 82% 86% 136% 248% 81% 88% 139% 251% 77% 91% 149% 242% 2009 2010 2011 2012
  18. 18. 18 The Dutch housing market: Houseprice Index comparison  S&P Expects Dutch house prices to stabilize in the course of 2014. In 2015 the first rise is expected at 2%. Forecasts are based on improving economic conditions, greater fiscal policy certainty, and increased affordability of housing.2 House price development (2000 values rebased at 100) Source: ECB, S&P/Case-Shiller, Nationwide 127 205 114 157 151  Moody‟s believes “Property prices in the Netherlands will be flat in 2014, with prices outside the Randstad and Zeeland being softer than those in key urban areas”.1 Note: Historical performance is not an indicator of future performance which may differ materially 1Moody’s: “Dutch RMBS: High loan-to-foreclosure values will be key default driver for 2014, but arrears will be relatively low”, 2014 2S&P: “Dutch RMBS Index Report Q4 2013: Severe delinquencies edge higher as the economy stabilizes”, 2014 0 50 100 150 200 250 300 2000 2001 2002 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 Netherlands UK Ireland Spain US
  19. 19. 19  Supply in the Dutch housing market is relatively inelastic ► Limited land available for housing ► Regulations and planning permissions  Construction of new housing is at its lowest level since 1952  Construction unlikely to increase in 2014 in view of the low number of building permits issued up to Nov. 2013  In order to reduce the structural housing shortage, the Dutch Ministry of Housing has estimated that at least 80,000 new houses would be required annually The Dutch housing market: Supply Supply dynamics Source: CBS, Ministry of Housing, VROM Building permits and newly built homes Source: CBS Increase in the Dutch Households Source: CBS Number of inhabitants per dwelling is decreasing Source: CBS x million x 1000 2,20 2,25 2,30 2,35 2,40 2,45 2,50 2,55 1996 1998 2000 2002 2004 2006 2008 2010 2012 Inhabitants per dwelling 6 6,5 7 7,5 8 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 Households 0 20 40 60 80 100 120 Building permit Completed homes
  20. 20. 20 The Dutch Residential Mortgage Market
  21. 21. 21 Mortgage lending market share in the Netherlands (Q4 2013); Source: Land Registry (Kadaster) Overview of the Dutch mortgage market Overview of the Dutch mortgage market Source: DNB, Land Registry (Kadaster) Dutch Prime RMBS Originators - Market Share Source: JPM (1 Jan 2010 – 1 Feb 2014) Total = €62bn Mortgage debt outstanding Source: Dutch Central Bank  In Q3 2013, total outstanding residential mortgage debt in The Netherlands was approx. €645bn  New mortgage lending in Q4 2013 was €11.4bn  Mortgage originators in The Netherlands include banks, insurance companies and specialized mortgage originators  Securitization is a key funding source for Dutch mortgage lenders Other -10 0 10 20 30 40 50 60 0 100 200 300 400 500 600 700 2007 2008 2009 2010 2011 2012 2013 Thousands Thousands total mortgage debt outstanding (LHS) year-on-year change (RHS) Aegon 10% ABN Amro 21% Achmea Hypotheken bank 7% BNP Paribas 3% Delta Lloyd NV 2% ING Bank 14% NIB Capital 4% Obvion 30% SNS Bank 3% Other 7% 16,7% 0,4% 1,5% 3,1% 5,6% 6,5% 10,3% 17,6% 18,3% 19,9% 0% 5% 10% 15% 20% 25% Other Westland Utrecht SNS Delta Lloyd Argenta Obvion Aegon ABN AMRO ING Rabobank EUR bn EUR bn
  22. 22. 22 Key characteristics of the Dutch residential mortgage market Under writing  Mortgage loans are provided predominantly on the basis of income (LTVs are a less significant basis due to tax incentives)  “Full-doc” underwriting, no self certification of income  Industry wide credit database (BKR) Code of Conduct  The Code of Conduct aims to encourage lenders to compete on service and price rather than aggressive lending practices  Affordability calculation assuming 30 year amortizing loan regardless of product and interest rate risk Framework  Lenders can repossess and sell properties by public auction without a court order  Full recourse to the borrower. After foreclosure, any remaining debt remains enforceable until discharged in full  Strong social support and pension system Products  Predominantly prime, owner occupied  Very little buy-to-let, non-conforming and sub-prime  Mostly fixed rate mortgage loans Source: Aegon NHG  The NHG program is the public mortgage loan guarantee scheme supporting home ownership in the Netherlands  Every person in the Netherlands can obtain a guarantee from the Dutch state guaranteed non-profit organization (Stichting WEW) subject to the applicable terms and conditions
  23. 23. 23 Main mortgage products € 0 € 50.000 € 100.000 € 150.000 € 200.000 € 250.000 0 60 120 180 240 300 360 LoanAmount Months Example of a savings mortgage loan Loan amount at risk after savings account taken into consideration Build up of linked savings account Repayment mortgage loans  Annuity mortgage loans – fixed monthly payments  Linear mortgage loans – principal component comprising an equal, fixed amount each month Interest-only mortgage loans  Interest-only mortgage loans – borrowers do not make any principal repayments until maturity Savings mortgage loans  Savings mortgage loans – borrowers do not make any principal repayments but instead make payments into a savings account with an insurance company / bank  Life mortgage loans – borrowers do not make any principal repayments but have an insurance policy, into which they pay a monthly premium, which is either expected or guaranteed to repay the mortgage loan at maturity  Investment mortgage loans1 – borrowers do not make any principal repayments but select an investment policy, into which they pay a monthly premium, which is expected to repay the mortgage loan at maturity 1The origination of Investment mortgage loans has been discontinued as of December 2010 PriortoJanuary1st2013 AfterJanuary 1st2013
  24. 24. 24 Mortgage loan structure LTMV = 106 / 100 = 106% 1As of Aug 2011 a maximum of 50% of market value is allowed to be interest only, remainder needs some form of repayment or capital savings 2The maximum allowable LTMV will decrease by 1% per annum to arrive at 100% in 2018 Transfer Tax @ 2% = 2 Costs @ 4% = 4 Market Value Property = 100 Required for property purchase = 106 Interest Only Mortgag e Loan Part = 50 1 Savings Mortgag e Loan Part = 56 Taxes and other costs related to the property purchase can also be funded by the mortgage loan The total mortgage loan may consist of multiple loan parts Additional protection through disability / term life / accidental death / household insurance policies Annuity Mortgage Loan = 105 2 Before 1-1-2013 As per 1-1-2013 Annuity Mortgage Loan = 104 2 As per 1-1-2014
  25. 25. 25 Code of Conduct: Industry self-regulation Overview of the Code of Conduct  The Code of Conduct is endorsed by Aegon as well as almost all banks, savings banks, mortgage banks, insurance companies, pension funds and building funds in the Netherlands ► Self regulation of the industry in consultation with the government ► Originally established in 2001  The Code of Conduct provides guidelines and best practices for the origination of mortgage loans: ► Transparency, information, suitability of mortgage loans for customer ► Underwriting criteria: LTV, affordability  Ensures that lenders compete on service and price, rather than aggressive underwriting  The Code of Conduct aims to encourage mortgage lenders to stick to the specified criteria despite consumer pressure  Detailed affordability calculations ► Regardless of product type, calculates monthly mortgage loan payments assuming a 30 year annuity loan (no benefit for interest only) ► If fixed interest term <10 years, assumes a mortgage loan rate of 5.00% (Aegon‟s current1 10 year rate for NHG mortgage loans is 4.00%, and 4.75% for non NHG mortgage loans with maximum LTV) ► References DTI tables from an independent national foundation to determine maximum loan amount  LTV ≤ prior to 2013 approx. 106%2, starting January 1st 2013, the maximum LTV will decrease with 1% per year until the maximum LTV is 100% as of January 1st 2018  Interest-only part: From August 2011 max 50% of market value, remainder needs some form of repayment. As per January 1st 2013, new mortgage loans must repay according to, or faster than a 30- year annuity loan to be eligible for tax deductibility of interest payments. Existing mortgage loans will be grandfathered, based on their current fiscal treatment. Selected Code of Conduct guidelines Source: Aegon, NVB, GHF, NIBUD, Fitch (EMEA Criteria Addendum Netherlands, March 2011) 1As of 17 January 2014 2On 1 July 2011 the Dutch government reduced the transfer tax from 6% to 2% to encourage housing market activity. This reduced the LTV limit in the Code of Conduct from 110% to 106%. The current LTV limit is 104% as of 1 January 2014.
  26. 26. 26  Average income 2013: € 33.000 Percentage of gross income that can be used for mortgage loan payments Mortgage loan rate Gross Income <=4% 4.001%- 4.5% 4.501%-5% 5.001%- 5.5% >5.5% 19,500 16.5% 17.0% 17.5% 18.0% 18.5% 20,000 17.5% 18.0% 18.5% 19.0% 19.5% 20,500 18.5% 19.0% 19.5% 20.0% 20.5% … … … … … … 55,000 26.0% 27.0% 28.0% 29.0% 30.0% 58,000 26.5% 27.5% 28.5% 29.5% 30.5% 61,000 27.0% 28.0% 29.0% 30.0% 31.0% … … … … … … 75,000 29.5% 30.5% 31.5% 32.5% 33.5% 77,000 29.5% 31.0% 32.5% 34.0% 35.5% 79,000 30.0% 31.5% 33.0% 34.5% 36.0% … … … … … … 96,000 31.0% 32.5% 34.0% 35.5% 37.0% 110,000 31.5% 33.0% 34.5% 36.0% 37.5% Affordability calculation based on the Code of Conduct Affordability tables provided by NIBUD  Mortgage lenders closely follow the affordability recommendations provided by Nationaal Instituut voor Budgetvoorlichting (“NIBUD”) ► Independent Dutch foundation ► Promotes the rational planning of family finances ► Affordability tables are included in the Code of Conduct  For each income bracket, the part of the gross income that can be paid on a mortgage loan is calculated ► For example, a borrower with a gross income of EUR 55,000 and a mortgage loan with an interest rate of 4 to 4.5% can use 27.0% of his income on interest and principal repayments (based on a 30 year annuity)  NIBUD‟s calculations take into account household expenditures (e.g. electricity, gas, water, local taxes, telephone/internet, insurances, transport, school costs for children), other fixed costs and reservation expenditure as well as tax aspects of a mortgage loan  Lenders can obtain other financial obligations of applicants in the national credit register (“BKR”) For borrowers below 65 years of age Source: Aegon; “Een betaalbare hypotheek, nu en straks.” NIBUD, 2013; NIBUD, Affordability percentages, 2014
  27. 27. 27 Detailed income underwriting is typical for Aegon and the Dutch market  Application tested against Aegon‟s standard criteria, databases for credit history and fraud and, where necessary, subject to an additional review by a credit committee  If successful, the application is “pre-approved” and a loan offer is issued to the customer, which remains contingent on the provision of the necessary backing documentation Underwriting Process: Stage 1 “Pre-approval”  Aegon checks underlying documentation provided by borrower  Following final approval, notarial documentation and mortgage loan registration can be completed, and the loan can be disbursed on the day the trade of the property takes place Underwriting Process: Stage 2 “Final approval”  Customer data: ► Extract of credit register (“BKR”) and fraud register (“SFH”) ► Recent pay slip ► Employment contract ► Affordability calculation ► Banking details for direct debit ► Proof of residence (land registry and deed)  Self-employed: ► Income: avg. net profit of last 3 years with max most recent year ► IB60 form (formal income statement provided by the Dutch Tax Authorities): at least 3 tax returns required  Property related: ► Appraisal report, and/or ► Property tax assessment, and/or ► Building and purchase contract Aegon key documentation requirements (similar to market practice)  Aegon checks the completeness of files and the consistency of documents  Aegon processes integrate a strict four eye principle  Further controls may be made as part of a quality control program to assess the credit risks associated with origination and underwriting  A file sample is typically reviewed by individuals independent from the underwriting team (internal or external) Quality control & audit Source: Aegon; Fitch, “Underwriting Practices and Criteria in the Dutch Mortgage Market” 19 October, 2007
  28. 28. 28 Detailed income underwriting typical for the Dutch market (cont’d)  BKR is a non-profit organization which was founded in 1965 by the Dutch finance industry to administer the Central Credit Information System (“CKI”) ► CKI stores data on loans and credit facilities ► BKR informs affiliated organizations on the credit history of consumers ► All of the major Dutch mortgage loan lenders are registered  Lenders can obtain data on a consumer‟s credit history from BKR, including details on credit cards and auto loans  CKI stores data on negative payment events and bankruptcies ► Records remain in the database for 5 years  BKR shares credit histories with the national credit registers of Germany, Italy, Belgium and Austria Overview of the national credit register (“BKR”) Source: BKR as of November 2012
  29. 29. 29 The social security infrastructure in the Netherlands as of 1 February 2014 Employee Insurance Schemes  Unemployment Insurance Act (WW)  Sickness Benefits Act (ZW)  Work and Income according to Labor capacity Act (WIA)  Employer Pension Plans  All employees under the age of 65 who meet past service requirements and lose their job receive unemployment benefits ► Payable from the first day of unemployment ► One month benefit for every year of employment history (minimum of 3 and maximum of 38 months*) ► Unemployment benefit equals 75% of the last-earned salary during first 2 months and 70% during the rest of the unemployment period (with a maximum of 38 months*) . ► Up to a cap ~ €50,000 per annum National Insurance Schemes  General Old Age Pensions Act (AOW)  Exceptional Medical Expenses Act (AWBZ)  Surviving Dependants Act (ANW) Other  Healthcare Insurance Act  Basic medical insurance is a legal obligation and insurers are required by law to accept anyone who registers  Cost of basic insurance is now approx. €100 per month  Covers medical care incl. GP, hospitals, medical specialists, hospital stays, various medical appliances and medicines, ambulance transport, paramedical care  Generally medical expenses are covered 100% except there may be deductibles for selected expenses Sources: Ministerie van Sociale Zaken & Werkgelegenheid, A short survey of Social Security in the Netherlands, July 2011; Uitvoeringsinstituut Werknemersverzekeringen (UWV); SocialeVerzekeringsbank (SVB); Kiesbeter (www.kiesbeter.nl); “Bruggen slaan – Regeerakkoord VVD PVDA” 29 October 2012 * From 1 July 2016 the maximum term of 38 months for unemployment benefit will be gradually reduced to 24 months from 2019 onward. * Pensionable age will be gradually increased from 65 to 67 as of 1 January 2014  Usually both basic pension (AOW) and employment pension received  AOW: gross annual amount (including holiday allowance) is €14,034 / €9,716 (single/co-habiting per person) as of 1 February 2014  Employment pension plans are in addition to AOW, and can take various forms, usually calculated as a percentage of the average or last salary earned over a career ► Currently most pension plans are defined benefits  AOW is a funded scheme
  30. 30. 30 Tax incentives are the main reason behind higher LTVs Rational borrower behaviour in the Netherlands:  Maximise amount of the mortgage loan secured on prime residence  Take out non-amortizing mortgage loans with long maturities  Accumulate principal in savings, investment or insurance policies Tax system is a key driver of mortgage loan characteristics:  High average LTV levels, before taking into account the related savings, investment or insurance policies  Significant collateral in insurance contracts vs. scheduled redemptions  Long mortgage loan terms Due to tax incentives, Dutch lenders put greater emphasis on strict income underwriting than on LTV ratios. As of January 2013, the maximum LTV for new mortgage loans is decreasing by 1% p.a. 100% in 2018. In 2014 the maximum LTV is 104% Mortgage loan interest expense Savings interest income Double tax incentive for mortgage loan borrowers1 Interest on the mortgage loan on a borrower‟s residence is deducted from taxable income Income on savings/ insurance / investment policies used to repay “interest-only” mortgage loans is tax free The Dutch tax incentives in perspective  This type of tax deduction has been in effect in one form or another since 1893. Some changes have been made in the last years:  Reduction of the tax benefit by permitting tax deductibility only for the first 30 years of the mortgage loan term  Interest payable on equity extracted in a refinancing is not deductible  In June 2011 the government reduced the transaction tax from 6% to 2% to encourage activity in the housing market.  In addition, the budget for 2013 as agreed upon by the coalition in October 2012 contains some additional provisions that will affect the interest deductibility, as further described on the next slide 1Tax incentives remain in place for existing mortgages under modified government policy Source: Aegon
  31. 31. 31 Recent policy developments impacting the housing Tax deductibility ► New mortgages originated after January 1st 2013 only benefit from tax deductibility if they are fully amortizing ► For existing and new mortgage loans from 2014 the maximum deduction rate will be reduced from 52% to 42%, in steps of a halfpercent per year ► The problem of residual debt remaining after property sales will be effectively tackled by making interest payments on residual debt temporarily tax-deductible (for a maximum of ten years) Sources: Aegon Leven, www.rijksoverheid.nl Mortgage lending policies ► The favourable loan facility for starters of the Stichting Volkshuisvesting Nederland (Dutch Foundation for Housing ) was expanded to EUR 100 million ► From 1 January 2013 for new mortgages only amortizing loans are eligible for NHG ► Maximum LTV allowance is 104% in 2014 will be decreased by steps of 1% per year to 100% in 2018 ► Penalty free prepayment up to the current WOZ-valuation (from November 1st 2013 to January 1st 2015) Relevant tax code amendments ► Property transfer tax will be kept at the reduced level of 2% ► The top bracket income tax will be lowered from 52% to 49,5% ► From 2018 in small steps over a 21 year period ► The 42% bracket will be lowered to 38% ► Lowering in small steps starting in 2018 until 2042 ► One-off tax-free donation cap raised from €51,407 to €100,000 (can only be used for purchase or rebuilding of house or prepayment of mortgage) ► Donations now also eligible for others than own children (donation changes applicable from October 1st 2013 to January 1st 2015)
  32. 32. 32 Property foreclosures Source: Land Registry, CBS Mortgage loan foreclosures in the Netherlands  In the fourth quarter of 2013 the number of foreclosures amounted to 554 compared to 669 in the same period in 2012  There were 1,863 forced sales in 2013 (≈ 0.046% of total dwellings) compared to 2,488 forced sales in 2012 (≈ 0.061% of total dwellings)  In its preliminary annual results for 2013 NHG states that 65% foreclosures were divorce-related and 17% were driven by unemployment 0,0000% 0,0050% 0,0100% 0,0150% 0,0200% 0 100 200 300 400 500 600 2005 2006 2007 2008 2009 2010 2011 2012 2013 Number of properties foreclosed per month (LHS) % of total number of dwellings (RHS)
  33. 33. 33  NHG (Nationale Hypotheek Garantie) refers to the public mortgage loan insurance scheme supporting home ownership in the Netherlands  Every person in the Netherlands can obtain a guarantee from the Stichting WEW, a Dutch state guaranteed non-profit organization, for a mortgage loan amount of up to €290,0001,2 relating to a residential house purchase of up to €273,585 ► Guarantee coverage: Mortgage loans originated prior to 31 December 2010 are 50% guaranteed by the Dutch state and 50% by the municipalities. Those originated as of 1 January 2011 are 100% guaranteed by the Dutch state ► Cost: up-front payment of 100bps of the loan amount as of 1 January 2014 ► Interest rate discount: approx. 10 to 60bps p.a. depending on LTV ► Since 1 January 2013 NHG is only available for amortizing mortgage loans ► For those loan parts originated as of 1 January 2014, the originator is accountable for 10% of the realized loss.  The mortgage loan lender is responsible for ensuring that the guarantee application meets NHG conditions ► If the NHG conditions are not satisfied, the lender may not be fully covered by the guarantee ► The NHG guarantee is based on an annuity amortization profile (30 year term)  The NHG scheme has specific rules for the level of credit risk that will be accepted ► The creditworthiness of the applicant must be verified with the National Credit Register (BKR)  If accepted, the Stichting WEW registers the mortgage loan and establishes the guarantee  The digitalised underwriting process is beneficial to the WEW claim acceptance rate  NHG loans predominantly originated since the start of the economic crisis, 80% of origination in first half of 2013 vs. 54% in 2008  In 2013 a total of 85,200 buyers have used the NHG mortgage loan guarantee. Within the € 290,000 limit more than 90% of buyers have bought with NHG guarantee  In 2013 the capital base of the NHG guarantee decreased by € 8 million to € 778 million. This was in line with expectations The NHG mortgage loan guarantee NHG Guarantee & conditions Stichting WEW  Moody‟s and Fitch have assigned Stichting WEW a Aaa/AAA rating3 1For comparison, average house price in The Netherlands is € 215,388 Source: Land registry as of December 2013 2The €290,000 limit is in place since 1 July 2013 and will be reduced to €265,000 as of July 1st 2014 and to €225,000 as of 2016 (expected) 3Credit rating accurate as of 3 March 2014
  34. 34. 34 Compare maximum cost of living with current cost of living Income test run (according to NHG Conditions) NHG triggers, requirements and foreclosure process Sales process Gather recent income data Decision NHG Remission or restructuring (part) of loan, so borrower can stay in current house and is able to bear costs.* Private sale: minimum proceeds of 95% of the appraised value (market value) Auction: approval from NHG needed, no minimum proceeds required NHG Guarantee Triggers: -Unemployment -Divorce -Disability for work Borrower can stay in current house and is able to bear costs Start sales process * On a case by case basis Aegon uses Budget Coaches in order to manage / reduce arrears or losses
  35. 35. 35 The Dutch RMBS Market in Perspective
  36. 36. 36 74bps The Dutch RMBS market Overview Source: Moody’s, AFME and JP Morgan  One of the main primary issuance investment opportunities within the European securitization market  AAA rated Dutch RMBS spreads have shown a fair degree of stability between July 2010 and December 2012, but have been tightening since the beginning of 2013 due to limited supply  Asset performance has remained strong through the credit crisis ► Cumulative net loss rates of Dutch NHG RMBS for Q3 2013 remain low at approx. 2bps. For Dutch prime RMBS this was 9bps. ► Dutch NHG RMBS recorded a 60+ day delinquency rate in October 2013 at 65bps versus 97bps for Dutch prime RMBS  CPRs have fallen from pre-crisis average of approx. 17% (‟06) to approx. 4.1% in September 2013 compared to UK RMBS where CPRs have fallen from pre-crisis of approx. 36% (‟06) to approx. 17.4% in August 2013 Generic AAA ABS market spreads Source: JP Morgan 55bps Historical performance is not an indicator of future performance and may differ materially - ,50 ,100 ,150 ,200 ,250 ,300 ,350 ,400 ,450 jan-07 jul-07 jan-08 jul-08 jan-09 jul-09 jan-10 jul-10 jan-11 jul-11 jan-12 jul-12 jan-13 jul-13 jan-14 Dutch RMBS AAA FL 5 Yr UK RMBS AAA Euro FL 5 Yr
  37. 37. 37 Performance comparison of Dutch RMBS 60+ day Delinquencies Source: Moody‟s, Dutch Prime and NHG RMBS Indices, September 2013, Moody‟s, UK Prime RMBS Indices, August 2013 and Moody‟s, Jumbo Mortgage Credit Indexes, May 2013 Moody’s Outlook for Dutch RMBS*  Moody's collateral outlook for Dutch RMBS is stable  60+ day delinquencies of prime RMBS showed an increase from 0.76% in September 2012 to 0.97% in September 2013. For NHG RMBS the index increased from 0.48% to 0.65%  The cumulative defaults index for prime RMBS showed an increase from 0.35% in September 2012 to 0.37% in September 2013. For NHG RMBS it increased from 0.15% 0.28%  The cumulative losses index for prime RMBS remained stable, widening slightly to 0.09% in September 2013 from 0.07% in September 2012. For NHG RMBS it increased from 0.01% to 0.02% Source: Moody‟s, Dutch Prime and NHG RMBS Indices, September 2013 0.97% 10.73% 2.52% * Numbers based on Dutch Prime and NHG RMBS Indices Historical performance is not an indicator of future performance and may differ materially. Market characteristics may differ materially between jurisdictions and statistical data across markets may not be entirely comparable.
  38. 38. 38 Prime RMBS Cumulative Losses Cumulative Losses (bps) Source: Aegon; Moody’s, Dutch Prime and NHG RMBS Indices, September 2013, Moody’s, UK Prime RMBS Indices, August 2013 and Moody’s, Jumbo Mortgage Credit Indexes, May 2013 Note: Historical performance is not an indicator of future performance and may differ materially. Market characteristics may differ materially between jurisdictions and statistical data across markets may not be entirely comparable 200 43 9 50 0 25 50 75 100 125 150 175 200 225 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 Dutch Prime UK Prime US Prime Typical annual excess spread p.a. in Dutch RMBS
  39. 39. 39 Prepayment rates 23.1% 17.4% 4.1% Source: Aegon Historical performance is not an indicator of future performance and may differ materially. Market characteristics may differ materially between jurisdictions and statistical data across markets may not be entirely comparable  Dutch prepayments are relatively insensitive to interest rates due to high prepayment penalties: ► Annual partial prepayments are typically only possible up to 10% of outstanding principal amount without penalty; ► The prepayment penalties are set at levels that compensate the lender for the loss of interest income; ► The penalty is generally equal to the PV of the interest rate differential over (1) the time to maturity of the loan or (2) the time to the next interest rate reset date  Prepayment without prepayment penalty is possible under special circumstances: ► When the property is sold; ► If the property is destroyed; ► When the borrower has deceased; ► At an interest-reset date ► For the loan balance in excess of the WOZ value of the property (temporary arrangement from November 1st 2013 to January 1st 2015)  Because of the historically low mortgage loan interest rates, the Dutch mortgage loans increasingly have longer fixed interest rate periods (>10 years) Prepayment rates Source: Moody‟s, Dutch Prime and NHG RMBS Indices, September 2013, Moody‟s, UK Prime RMBS Indices, August 2013 and Moody‟s, Jumbo Mortgage Credit Indexes, May 2013 0% 10% 20% 30% 40% 50% 60% 70% 80% 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 Dutch Prime (CPR) UK Prime (TRR) US Prime (CPR)
  40. 40. 40 Transactions comparison: Selected publicly placed Dutch and UK RMBS Source: Prospectuses Dutch RMBS UK RMBSItem Deal name SAECURE 14 SAECURE 13 SAECURE 12 SAECURE 11 Storm 2014–I Dolphin 2013-2 Storm 2013-IV Storm 2013-III Dutch MBS XVIII Brass 3 Albion 2 Lanark 2013-1 Closing date [Mar-14] Mar-13 Dec-12 May-12 Feb-14 Oct-13 Sep-13 May-13 Feb-13 Oct-13 Jul-13 Jun-13 Originator Aegon Aegon Aegon Aegon ObvionABN Amro Obvion Obvion NIBC Yorkshire BS Leeds BS Clydesdale Portfolio stratification Avg. current (market) LTV 95,1% 92.5% 84.5% 81.5% 95.1% 72,8% 85,6% 85.5% 75.5% 70.2% 66.73% 62.0% % IO 35.7% 36.9% 47.4% 49.9% 57.8% 54,9% 59,9% 62.5% 62.4% 37.3% 19.38% 31.3% % fixed interest 96.7% 98.3% 91.7% 91.9% 91.3% 95,2% 89,1% 88.6% 83.5% 61.2% 67.93% 31.8% % in arrears 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 2.75% % self employed 0.0% 0.0% 3.5% 6.5% 5.7% 4.5% 6.8% 5.2% 7.0% 5.4% 14.07% 10.1% Max regional concentration 21.0% 20.8% 19.2% 18.6% 20.5% 27.1% 20.3% 19.7% 21.3% 56.3% 26.88% 24.2% Zuid- Holland Zuid- Holland Zuid- Holland Zuid- Holland Noord- Brabant Zuid- Holland Noord- Brabant Noord- Brabant Zuid- Holland South EastSouth East Yorks/ Humb % NHG 100% 100% 62% 45% 32.8% 0.0% 33.2% 32.7% 7.5% Portfolio data Original balance (in mln) € 1,502 € 1,233 € 1,468 € 721 € 1,064 € 29,928 € 745 € 1,170 € 526 £1,209 £326 £3,727 Average loan (borrower) € 187,011€ 191,172€ 193,464 € 193,974 € 191,608€ 185,945€ 199,410€ 196,850 € 164,583 £191,045 £133,971 £95,383 WA interest rate 4.8% 4.8% 4.8% 5.0% 4.43% 4.7% 4.5% 4.4% 4.8% 3.5% 3.58% 3.66 Avg seasoning (yrs) 2.5 1.73 2.9 3.3 4.3 7.6 3.9 4.1 9.1 1.6 1.17 3.8 Avg time to maturity in yrs 35.5 40.8 41.1 40.5 23.7 20.9 23.8 23.7 20.1 21.7 22.54 16.76 Final Legal Maturity Date Dec-89 Nov-93 Jul-92 Oct-89 Mar-49 Sep-99 Oct-53 Aug-53 Feb-45 Apr-51 Mar-56 Dec-54 Credit enhancement AAA subordination 9.0% 8.9% 7.00% 7.50% 6.00% 7.00% 6,00% 6.00% 5.03% 9.75% 8% 14.00% Reserve fund 1.0% 1.0% 3.00% 1.00% 1.00% 1.10% 1.00% 1.00% 0.51% 2.70% 3% 3.29% Total Credit enhancement 10.0% 9.9% 10.00% 8.50% 7.00% 8.10% 7.00% 6.00% 5.54% 12.45% 11% 17.29% Excess spread margin 0.50% 0.50% 0.50% 0.50% 0.50% 0.50% 0.50% 0.50% 0.50% 1.20% 2% 1.66%
  41. 41. 41 Selected Dutch RMBS – Spreads at issuance – WAL ~ 2 years Spreads at issuance – Transactions with WAL ~ 2 years Source: Prospectuses Arena BV 2011-1 SAECURE 10 STORM BV 2011-III Dutch MBS BV XVI Phedina 2011-1 Dutch MPL IX Arena 2011-II STORM 2011-IV Orange Lion 2011-6 STORM 2012-1 STORM 2012-2 STORM 2012-3 DMPL X STORM 2012-4 DUTCH MBS XVII HERMES 18 SAECURE 12 Arena 12-I STORM 2013-I SAECURE 13 NHG STORM 2013-II STORM 2013-IV 30 50 70 90 110 130 2011 2012 2013 2014
  42. 42. 42 Selected Dutch RMBS – Spreads at issuance – WAL ~ 5 years Spreads at issuance – Transactions with WAL ~ 5 years Source: Prospectuses SAECURE 10 STORM 2011-III Dutch MBS BV XVI Phedina 2011-1 Dutch MPL IX Arena 2011-II STORM 2011-IV Orange Lion 2011-6 STORM 2012-1 STORM 2012-2 SAECURE 11 STORM 2012-3 DMPL X STORM 2012-4 Dolphin 12-II HERMES 18 STORM 2012-5 SAECURE 12 Arena 2012-I Orange Lion 2013-8 STORM 2013-I SAECURE 13 NHG Storm 2013-II Storm 2013-III STORM 2013-IV Dolphin 2013-I Phedina 2013-I Strong 2011-1 Storm 2014-1 Lunet 2013-1 70 90 110 130 150 170 190 2011 2012 2013 2014 2015
  43. 43. 43 Outstanding net balance of SAECURE RMBS transactions 0 1 2 3 4 5 6 7 8 9 10 2006 2007 2008 2009 2010 2011 2012 2013 EUR(Billions) SAECURE 1* SAECURE 2* SAECURE 3* SAECURE 4* SAECURE 5* SAECURE 6* SAECURE 7 SAECURE 8 NHG SAECURE 9 SAECURE 10 SAECURE 11 SAECURE 12 SAECURE 13 NHG * Repaid at FORD Note: Historical Performance is not an indicator of future performance which may vary materially Source: Investor Reports SAECURE transactions
  44. 44. 44 Performance of SAECURE RMBS transactions Overview Arrears across all SAECURE transactions Source: Investor Reports (December 2013)  Current arrears performance of outstanding SAECURE transactions is very strong  Investors are referred to the Prospectus of each transaction for initial portfolio details  The portfolios securitised in prior SAECURE transactions are representative of Aegon‟s total portfolio of mortgage loans  Due to an increased private sales period the arrears amount in the 6 months bucket is increasing, while the number of arrears in this bucket is showing a slight increase Note: Historical performance is not an indicator of future performance which may differ materially Note: Percentages shown in the table are rounded to 2 decimal places. As such, the total arrears percentage may appear to be below or above the sum of all arrears buckets Note: SAECURE 1 – 6 called at respective FORDs. Values shown in the table above for these transactions are as of FORD Note: SAECURE 7, 8, 9, 10, 11, 12 and 13 as of end of 2013 Total arrears amount (in bps of net current balance) SAECURE 13 NHG SAECURE 12 SAECURE 11 SAECURE 10 SAECURE 9 SAECURE 8 NHG SAECURE 7 SAECURE 6 NHG SAECURE 5 SAECURE 4 SAECURE 3 SAECURE 2 SAECURE 1 <= 1 monthly payment 0.2 0.2 0.1 0.3 0.4 0.2 0.2 0.3 0.7 1.4 0.6 0.7 0.6 1 <= 2 monthly payments 0.1 0.2 0.1 0.2 0.2 0.1 0.3 0.3 0.5 1.1 0.7 0.4 0.1 2 <= 3 monthly payments 0.1 0.2 0.1 0.2 0.2 0.2 0.3 0.2 0.5 1.0 0.6 0.4 0.1 3 <= 4 monthly payments 0.1 0.1 0.3 0.2 0.3 0.2 0.2 0.2 0.2 0.5 0.5 0.4 - 4 <= 6 monthly payments 0.1 0.3 - 0.2 0.5 0.5 0.4 0.4 0.3 0.6 0.5 1.0 0.2 > 6 monthly payments 0.1 0.3 0.5 1.8 1.4 1.3 2.1 1.5 1.9 0.9 0.5 0.6 - Total arrears amount 0.7 1.3 1.1 3.0 3.0 2.6 3.4 3.0 4.1 5.4 3.4 3.5 0.9 Total Portfolio (net principal) (in mln €) 1,204 1,398 672 1,379 729 1,233 908 1,176 397 333 453 375 350 Arrears (>=2months) across all SAECURE transactions Source: Investor Reports, (bps of curr. balance) (2006 – 2013) 0,0 1,0 2,0 3,0 2006 2007 2008 2009 2010 2011 2012 2013 2 <= 3 monthly payments 3 <= 4 monthly payments 4 <= 6 monthly payments > 6 monthly payments
  45. 45. 45 Performance of SAECURE RMBS transactions (cont’d) Note: Historical performance is not an indicator of future performance which may differ materially 1SAECURE 6 called at 27 august 2013. Recovery rates for Saecure 6 are based on end of July 2013 figures Loss statistics across all SAECURE transactions Source: Investor Reports (2006 – 2013) No. of defaulted loans across all SAECURE transactions Source: Investor Reports (2006 – 2013) Saecure - Net losses Year Outstanding net balance (EUR mln) Total net losses (EUR mln) Total net losses (bps of net balance) 2006 5,463 1.51 2.76 2007 4,339 1.61 3.71 2008 3,714 1.37 3.68 2009 3,356 1.18 3.51 2010 6,148 1.91 3.11 2011 6,580 0.90 1.37 2012 6,532 1.14 1.74 2013 7,523 1.50 1.99 Loss statistics across all NHG SAECURE transactions Source: Investor Reports (2006 – 2013) Saecure - Net losses (100% NHG RMBS) Year Outstanding net balance (EUR mln) Total net losses (EUR mln) Total net losses (bps of net balance) 2006 2,000 - - 2007 1,905 0.10 0.54 2008 1,748 0.12 0.68 2009 1,590 0.08 0.53 2010 2,916 0.05 0.18 2011 2,727 0.03 0.12 2012 2,559 0.19 0.75 2013 2,437 0.06 0.24  Recovery Rate on NHG RMBS (SAECURE 6, 8 and 13) improved from 93% at the end of 2012 to 96% at the end of 20131  Recovery Rate on other RMBS (SAECURE 7,9 10,11 and 12) improved from 81% at the end of 2012 to 83% at the end of 2013  The average loss per mortgage loan for both NHG and non-NHG in 2012 was EUR 38,000 vs. EUR 26,500 in 2013. These are the average losses before submitting a claim to NHG or similar recovered amounts Recovery 7 15 7 9 8 13 3335 41 29 26 30 17 17 39 0 10 20 30 40 50 60 70 2006 2007 2008 2009 2010 2011 2012 2013 NHG RMBS RMBS (non 100% NHG)
  46. 46. 46 Aegon’s Residential Mortgage Loan Origination, Underwriting & Servicing
  47. 47. 47  Aegon NL consists of Business Lines: Business Line Life & Mortgages, Business Line Pension and Business Line Non-Life.  Aegon Business Line Life Insurance, the servicer of the mortgage loans, has a team of 140 people (121 FTE) located in Leeuwarden (91 front office and 30 back office) Aegon NL organization Source: Aegon Aegon NL management structure (simplified) Aegon Business Line Life - management structure* Aegon NL Business Line Life & Mortgages Business Line Pension Business Line Non-Life Staff Aegon Business Line Life & Mortgages Mortgage Lending Servicedesk Applications and Underwriting Servicing 1 Servicing 2 * Also simplified: Only department of Mortgage Lending is represented here.
  48. 48. 48 Aegon NL mortgage lending organization Marketing NL Financial ServicesBL Life Distribution and Sales Sales department Product development Marketing department Application processing Credit assessment and processing department Administration loans Commercial administration Service unit Registration of loans Sales Source: Aegon Foreclosure processing Foreclosures department Arrears management Early arrears Late arrears Debt collection Distribution partners Accepting and monitoring new brokers and distribution partners
  49. 49. 49  Aegon NL has two entities for its mortgage lending business, Aegon Hypotheken and Aegon Leven, which offer its mortgage loans under the “Aegon” brand name mainly to Dutch citizens with collateral only in the Netherlands ► As of the 1st of April 2011 all newly originated mortgage loans are underwritten by Aegon Hypotheken B.V., a 100% subsidiary of Aegon Nederland N.V. ► Aegon Hypotheken B.V. has outsourced all origination and servicing activities to Aegon Leven. Aegon Hypotheken is fully embedded in Aegon‟s global risk- and capital management framework ► The mortgage lending business is a powerful cross-selling tool for life insurance products. With approx. 40% of all sold mortgage loans, Aegon also sells an insurance product  All mortgage loans are sold through intermediaries ► Only professional regional and national parties who adhere to Aegon‟s strict standards and requirements are used as intermediaries ► The advantage of using intermediaries is to increase the market range and use parties who have strong regional knowledge. Aegon uses a wide range of intermediaries (self-owned as well as other independent financial advisors). All underwriting activities are performed by Aegon NL ► As of 1 January 2013, new legislation is in force. Unlike before, intermediaries are no longer allowed to receive commissions from the underwriter, instead they will have to charge their fees directly to the client ► Mortgages are not sold “On-line” but underwriting process at Aegon has been digitalized which lead to efficient internal and client process. Application for withdrawal of construction deposits can be done online. Clients pay their monthly mortgage by “direct debit” Aegon NL mortgage lending organization (cont’d) Source: Aegon
  50. 50. 50 Aegon NL mortgage lending organization (cont’d)  The mortgage loans are widely distributed over the whole of the Netherlands and are also well diversified by borrower age ► Aegon has defined the following as its key target groups for the sale of mortgage loans: young customers buying their first home (<35 years), customers moving to another home, customers staying in their current home (refinancing and increased mortgage loans) and to a lesser degree senior citizens ► Interest rate arrangements range from 1-month for floating rate mortgage loans to up to 30 years for fixed rate mortgage loans  Due to its long history in secured funding, Aegon has good access to funding markets  All mortgage related processes are periodically reviewed and are regularly audited (including SOX compliance) Source: Aegon
  51. 51. 51 Mortgage loan portfolio Source: Aegon (2006 – 2013) Successful Dutch mortgage loan operation  2013 „Gouden Spreekbuis Award‟  2013 Nominee for Dutch Securitization Award 2013  2012 Performance Award Mortgages and „Zilveren Spreekbuis Award‟  2011 Aegon „Hypotheekproduct 2011 Award‟  2009 „Gouden Spreekbuis Award‟ and the Performance Award (€ bn) (% of total book)  The mortgage lending business offers Aegon substantial cross-selling opportunities and synergies ► Cross-selling of life-insurance products ► Natural investment for the life insurance book of Aegon  Aegon NL‟s portfolio of prime residential mortgage loans amounted to €24.5bn at the end of the fourth quarter 2013  In 2013, Aegon increased their portfolio by €2.3bn through a combination of new mortgage loans and lower prepayment levels  Aegon was very successful in minimizing its lending losses and had a loss rate of 1.99bps across all SAECURE transactions in 2013 ► Evidence of its strict arrears and collection procedures ► The recovery rate on defaulted loans as per ultimo 2013 is 96% for NHG RMBS (SAECURE 6, 8 and 13)1 and 83% on all other RMBS (non 100% NHG) 1 SAECURE 6 called at 27 august 2013. Recovery rates for Saecure 6 are based on end of July 2013 figures 0% 10% 20% 30% 40% 50% 0 5 10 15 20 25 2006 2007 2008 2009 2010 2011 2012 2013 Non NHG Mortgage Loans (LHS) NHG Mortgage Loans (LHS) Outstanding SAECURE securitization program at year-end (RHS)* *SAECURE 6 was repaid at FORD (August 2013) and is not included in the outstanding SAECURE programm at end of 2013. Source: Aegon
  52. 52. 52  Aegon‟s customers are increasingly switching to (longer term) fixed interest rates (especially 10-year interest reset terms) due to the low absolute long term interest rates and uncertainty in the economic situation  70% of Dutch borrowers take out mortgage loans with interest reset periods in excess of 5 years (source: Aegon)  Aegon customers are even more risk-averse: > 90% have opted for interest reset dates in excess of 5 years  Aegon customers can repay without penalty up to the current WOZ valuation of the property. This option is available November 1st 2013 until January 1st 2015  For Aegon, all mortgage loans are originated via intermediaries  However, all underwriting decisions are made by Aegon‟s underwriting team based in Leeuwarden Residential mortgage loan production Aegon mortgage loan part production – by interest reset period Source: Aegon (%) January 2013 – December 2013 Aegon mortgage loan part production – by product type Source: Aegon (%) January 2013 – December 2013 Source: Aegon
  53. 53. 53  Aegon has a robust underwriting process that allows it to make lending decisions on a timely basis  Integrated and efficient approach from proposal to disbursement of the mortgage loan, including origination and administration of supplementary insurance products  The underwriting process at Aegon has been digitalised, which leads to efficient internal and client processes Aegon underwriting process Aegon front office Mortgage broker Aegon mid office Aegon back office 1 Aegon back office 2  Preparation of proposals  Reviewing of proposals  Preparation and sending of proposals  Receipt of signed proposals  Verification of docs (customer ID etc)  Sending documents to the notary  Receiving preliminary deeds & settlements  Verification of documents  Transfer of money  Receipt of signed deeds  Transferring mortgage loans to the back office system  Transferring insurance policies to the back office system  Handling of mortgage loan changes  Insurance policy changes  98% of all customers pay via direct debit and 2% by bank transfer  Cycle time is max 2 days  Cycle time is max 5 days  Cycle time is 5 days  Cycle time is 5 days Process Cycle times Underwriting Servicing Source: Aegon
  54. 54. 54 Underwriting criteria & credit process  Aegon Leven‟s underwriting team consists of 46 professionals. 25% of the team have more than 10 years experience  Strict lending limits apply to the 5 authorisation levels (e.g. underwriter with average experience = €400,000 limit)  Underwriting of loans exceeding €700,000 have to be approved by a senior underwriter and a member of the management team together  Approximately 20% of applications are declined immediately, the most common reasons for rejections include bad credit references (BKR) and high loan to income ratios (Aegon Leven follows National Budgeting Institute guidelines for income)  Aegon Leven‟s average acceptance rate on loan applications is approximately 66%  Underwriting criteria based on Code of Conduct criteria  Credit searches with BKR (National Credit Register) and SFH (Fraud Register)  Owner occupied properties  Mandatory valuation of the property  Mandatory damage and fire insurance  Additional forms of collateral: life insurance and equity portfolios  Underwriting criteria based on Code of Conduct criteria (LTVs, DTIs etc)  Mortgage loans with life insurance policies attached are priced more competitively (cross-selling) BorrowerCollateralLoan Source: Aegon
  55. 55. 55 Underwriting criteria  Before 1 April 2011 all mortgage loan origination was done out of Aegon Leven. As of 1 April 2011 all origination is done by Aegon Hypotheken B.V., a 100% subsidiary of Aegon NL  All borrowers must meet Aegon‟s lending criteria which largely focus on collateral and income  The approval to lend outside the automatically accepted lending criteria may be granted on a loan-by-loan basis subject to senior underwriter approval  Majority of mortgage loan acceptances on income criteria are via the system  Additionally, Aegon endorses the underwriting criteria set out by the Dutch Code of Conduct  The explain ratio for Aegon is less than 5%  Aegon has well defined limits and criteria to whom and under what conditions Aegon can lend to its customers: ► Since 2009 LTVs cannot exceed 109% ► Since 2011 LTVs cannot exceed 106% ► Since 2014 LTV‟s cannot exceed 104% ► Standard CHF criteria state that borrowers cannot borrow more than 4.5x their gross salary. Explain cases are capped at 6.5x gross salary ► Only residential mortgage loans ► If certain LTFV thresholds are exceeded, life insurance is compulsory ► Aegon has the first lien on property with a recourse to the borrower or recourse to NHG ► Since August 2011 the Interest-only part is capped at 50% of market value, remainder needs some form of repayment. This was already applicable for NHG mortgages.  Aegon has an automatic valuation system (only for existing mortgage loans). Aegon revaluates the borrower‟s property with the NBWO system to improve their position in Aegon‟s LTFV buckets. At this moment revaluation is done in case of renewal of contracts in the <90% LTFV and <125% LTFV buckets, which results in better retention (currently a retention rate of 87%) Source: Aegon
  56. 56. 56 Changes in Aegon underwriting criteria 2008 2009 2010 2011 2012 2013 - Discontinued Aegon KredietHypotheek (Credit mortgage loan) - Discontinued Aegon BeleggingsHypotheek (Investment mortgage loan) - LTV cannot exceed 109% - LTV cannot exceed 106% (entire market) - Interest-only part is capped at 50% of market value, remainder needs some form of repayment - Introduction Aegon BankspaarHypotheek (Bank savings mortgage loan) - Prepayment without penalty for the loan balance in excess of the WOZ value of the property (temporary arrangement from November 1st 2013 to January 1st 2015) - Legal maturity date for Interest only mortgages set at max 30 years, used to be the day the owner turned 100 - Discontinued mortgages for recreational homes - LTV cannot exceed 105% 2014 - LTV cannot exceed 104% - Existing IO mortgages can be transferred up to a maximum of 50% IO - Residual debt after sale of property can be co-financed. Only for existing Aegon customers and under current underwriting criteria Source: Aegon
  57. 57. 57 Focus on foreclosure in the Netherlands1 Foreclosure AEGON’s collection procedures Stage 4: Day 90 Action: Urgent arrears list Stage 6: Foreclosure Process Action: Repossession and sale Stage 1: Day 15 Action: Automatic reminder Stage 3: Day 60 Action: Telephone collection list Stage 5: Day 120 Action: Entire loan declared immediately due and payable a) Induce a final attempt for voluntary payment b) Allow time for drafting of legal documents c) Begin foreclosure process 60 120 Days in Arrears 6 Months Stage 2: Day 45 Action: Formal written demand  A mortgage loan lender can repossess and sell a property by public auction without court order ► A lender only needs to adhere to appropriate notice periods and have process run by a public notary ► In insolvency, the maximum stay that a court can impose is 4 months (court can still allow repossession during this period) ► If a lender wants to proceed by private sale rather than auction, the consent of the court needs to be requested  Full recourse to the borrower ► After foreclosure,any remaining debtremains enforceable until discharged in full ► A lender can attach to the borrower’s salary simply by informing the employervia bailiff  In insolvency, a debt rescheduling for private individuals (“Wsnp”) can limit recoveries after repossession ► Covers a period of 3 years, may be extended to 5 years. A court may at the end render remaining debt unenforceable (“clean sheet”) ► In AEGON’s experience,Wsnp and personal insolvencies are rare in the Netherlands due to the onerous requirements Further recourse to other wealth including salary Source: AEGON 1For non-NHG loans; for NHG loans, a lender first seeks to obtain payment (up to EUR 320,000) under the guarantee Stage 7: Post Sale Action: Post sale review Continued on next page
  58. 58. 58 Repossession & sale process in the Netherlands Source: Aegon ¹This is the average total time from the first missed payment until the actual foreclosure date ²The bailiff works on a no cure no pay arrangement. Extra expenses incurred are added to the default amount as are penalty interests Stage 5c Action to receive payment Stage 6 Sale process Stage 7 Post-saleUp to 1 Year¹ Letter of lien of salary Third party guarantor Joint voluntary sale Foreclosure begins Notary appointed Borrower cooperation decision Sale type decision Auction Private sale Bailiff appointed to collect any remaining debts² Yes No Unsuccessful Successful Continued from previous page
  59. 59. 59  A Dutch mortgage loan lender can access the linked savings, investment or insurance products in case a borrower defaults ► No discretion on the part of the borrower to divert funds Set-off risk in the Dutch market Savings and insurance vehicles: general remark Potential set-off by the borrower & mitigants Source: Moody‟s, Updated Methodology for Set-Off in Dutch RMBS, 12 November 2009 and Fitch, EMEA Criteria Addendum – Netherlands, 8 March 2011 Other set-off considerations  Savings/current accounts held by the borrower with the Seller: usually covered in Dutch RMBS by cash reserve ► Not relevant for Aegon as no deposits taken  Construction deposits: usually covered in Dutch RMBS by cash reserve Insurance mortgage loans  If the insurance company providing the borrower with the insurance policy becomes insolvent, it is possible that the borrower may set-off the value of his or her policy against the outstanding amount of the mortgage loan (insurance set- off)  The risk does not arise in respect of savings products which can form part of an insurance mortgage loan (see below)  All rating agencies model the potential set off risk arising from insurance linked mortgage loans  Each transaction will be analysed individually, taking into account the loss severity (e.g. capital under insurance policy and recoveries) and the probability of default (e.g. probability of default of the insurance company and the likelihood of set off by a borrower) Savings mortgage loans and Investment mortgage loans  Savings mortgage loans and Investment Mortgage loans could theoretically also lead to borrower set off, however this risk is generally mitigated in Dutch RMBS ► For savings mortgage loans, a sub-participation agreement is entered into which allows to transfer the borrowers‟ monthly savings payments from the insurance company to the SPV ► For Investment mortgage loans, the general set up is that the borrower is investing through a bankruptcy remote securities account Source: Aegon
  60. 60. 60 Aegon Highlights
  61. 61. 61 Aegon  Aegon is an international life insurance, pensions and asset management company based in The Hague  Aegon has businesses in over 20 markets in the Americas, Europe and Asia  Aegon companies employ over 26,500 people and have millions of customers across the globe  Aegon generated underlying earnings before tax of EUR 1,945 million in 2013  Aegon N.V. owns 100% of Aegon Nederland N.V. (“Aegon NL”), which owns 100% of Aegon Levensverzekering N.V. and 100% of Aegon Hypotheken B.V. Underlying earnings before tax by geography* Source: Aegon Underlying earnings before tax by line of business* Source: Aegon Aegon N.V. credit ratings Source: S&P, Moody’s and Fitch Aegon NV issuer credit ratings accurate as of 3 March 2014 * Excludes negative contribution from Holdings and Other activities ** Non-life earnings EUR -20mln, therefore not visible in diagram Rating agency Long-term Short-term Rating Outlook Rating S&P A- Stable A-2 Moody’s A3 Stable P-2 Fitch A Negative F1 2013 ** Source: Aegon
  62. 62. 62 Aegon at a glance +20 markets THROUGHOUT THE AMERICAS, EUROPE AND ASIA PENSIONS ASSET MANAGEMENT Life insurance Underlying earnings before tax in 2013 EUR 1.9 billion Revenue-generating investments EUR 475 billion1 1) As per December 31, 2013 Over 26,500 EMPLOYEES1
  63. 63. 63 17% 5% 27% 17% 83% 95% 73% 83% 0% 20% 40% 60% 80% 100% Underlying earnings before tax* Sales Market consistent VNB Employees Aegon Netherlands N.V. (“Aegon NL”) Underlying earnings before tax Source: Aegon Aegon NL as a % of Aegon Source: Aegon, FY 2013 Aegon NL Other Entities  Aegon NL is wholly owned by Aegon N.V. and a core member of the Aegon group  Aegon NL offers a wide range of financial products and services to its clients, including pensions, insurance (life and non-life), mortgage loans, savings and investment products  Beginning April 1, 2011 all newly originated mortgage loans are underwritten by Aegon Hypotheken B.V., a 100% subsidiary of Aegon Netherlands N.V.; mortgage loan servicing will continue to be performed by Aegon Leven  In 2013, Aegon NL represented 17% of Aegon‟s total underlying earnings before tax  Aegon Leven has a AA- (Stable) IFSR from Standard & Poor‟s** Simplified Aegon NL Structure 100% 100% 100%100% Aegon N.V. Aegon Netherlands N.V. Aegon Bank N.V. Aegon Schade- verzekering N.V. Aegon Levens- verzekering N.V. Aegon Hypotheken B.V. 100% EUR millions 2013 Life and Savings 243 Pensions 111 Non-life (20) Distribution 18 Share in underlying earnings before tax of associates 2 Underlying earnings before tax 355 * Excludes negative contribution from Holdings and Other activities ** Credit ratings accurate as of 3 March 2014. Refer to rating agency websites for additional detail. Source: Aegon
  64. 64. 64 Appendix: Provisional Stratification Tables
  65. 65. 65 Portfolio stratification Key Characteristics Notes 1. All totals and balances included in the stratification tables are based on net principal balance (i.e. net of value of saving deposits). 2. The weighted average coupon is based on current interest rate of the Loan Part, weighted by the net principal balance. 3. The weighted average maturity (in years) is based on the legal maturity date of the Loan Part and the cut-off date, weighted by the net principal balance. 4. The weighted average seasoning (in years) is based on the origination date of the Loan Part and the Cut-Off Date, weighted by the net principal balance. 5. The weighted average LTMV is based on the „net principal balance‟ for each Mortgage Loan divided by the „Market Value‟ upon origination of the Mortgage Loan‟, weighted by the net principal balance. 6. The weighted average LTMV (indexed) is based on the „net principal balance‟ for each Mortgage Loan divided by the „Indexed Market Value‟ upon origination of the Mortgage Loan‟, weighted by the net principal balance. The Indexation is based on data from the Land Registry as per December 2013. 7. The weighted average LTFV is based on the „net principal balance‟ for each Mortgage Loan divided by the „Foreclosure Value‟ upon origination of the Mortgage Loan, weighted by the net principal balance. 8. The weighted average LTFV (indexed) is based on the „net principal balance‟ for each loan divided by the „Indexed Foreclosure Value‟ upon origination of the Mortgage Loan, weighted by the net principal balance. The Indexation is based on data from the Land Registry as per December 2013. 9. The Loan-to-Foreclosure-Value of most loans is based on the foreclosure value upon origination of the Mortgage Loans except for a few Mortgage Loans which have been revaluated on a later date. Such a revaluation has exclusively been made in respect of Mortgage Loans which have been increased or decreased and has been based on the foreclosure value upon the day of the alteration. Source: AEGON Note: All values in the following stratification tables are as a percentage of current outstanding net balance As per reporting date Principal balance 1,574,318,425 Value of saving deposits 72,617,911 Net principal balance 1,501,700,514 Construction deposits 5,731,892 Net principal balance excl. construction and saving deposits 1,495,968,622 Number of loans 8,030 Number of loanparts 15,637 Average principal balance (borrower) 187,011 Weighted average current interest rate 4.81 Weighted average Remaining Fixed Rate Period (in years) 17.99 Weighted average maturity (in years) 35.5 Weighted average seasoning (in years) 2.54 Weighted average LTMV 95.1% Weighted average LTMV (indexed) 105.1% Weighted average LTFV 105.8% Weighted averageLTFV (indexed) 116.9%
  66. 66. 66 Portfolio stratification (cont’d) Redemption type Outstanding loan amount Description Aggregate Outstanding Not. Amount % of Total Nr of Loanparts % of Total Weighted Average Coupon Weighted Average Maturity Weighted Average CLTOMV Annuity 55,934,216 3.7% 596 3.8% 4.62 28.2 95.7% Bank Savings 496,136,531 33.0% 4,372 28.0% 4.94 26.9 98.0% Interest Only 535,846,356 35.7% 6,820 43.6% 4.60 53.1 93.4% Investments 2,042,712 0.1% 18 0.1% 4.16 22.5 88.5% Life Insurance 73,018,875 4.9% 681 4.4% 4.72 22.2 89.6% Linear 1,220,200 0.1% 14 0.1% 4.34 28.6 89.4% Savings 337,501,625 22.5% 3,136 20.1% 5.04 24.6 94.9% Total 1,501,700,514 100.0% 15,637 100.0% 4.81 35.5 95.1% From ( > ) Until ( <= ) Aggregate Outstanding Not. Amount % of Total Nr of Loans % of Total Weighted Average Coupon Weighted Average Maturity Weighted Average CLTOMV < 25,000 - - - - - - - 25,000 50,000 50,000 - 1 0.0% 4.95 28.8 23.0% 50,000 75,000 7,013,115 0.5% 109 1.4% 4.39 32.1 50.5% 75,000 100,000 27,042,671 1.8% 302 3.8% 4.70 31.2 71.4% 100,000 150,000 222,734,888 14.8% 1,729 21.5% 4.79 33.0 86.8% 150,000 200,000 477,143,319 31.8% 2,716 33.8% 4.84 34.8 95.2% 200,000 250,000 472,820,067 31.5% 2,123 26.4% 4.85 36.5 97.9% 250,000 300,000 213,513,261 14.2% 791 9.9% 4.78 37.0 99.7% 300,000 350,000 81,383,192 5.4% 259 3.2% 4.73 38.6 101.8% 350,000 400,000 - - - - - - - 400,000 450,000 - - - - - - - 450,000 500,000 - - - - - - - 500,000 > - - - - - - - Total 1,501,700,514 100.0% 8,030 100.0% 4.81 35.5 95.1% Weighted Average 187,011 Minimum 50,000 Maximum 343,675
  67. 67. 67 Origination year Portfolio stratification (cont’d) * Seasoning is defined as the period between the date of origination of the Loan Part and the Cut-Off part Seasoning Weighted Average - Minimum 2005 Maximum 2013 From ( >= ) Until ( < ) Aggregate Outstanding Not. Amount % of Total Nr of Loanparts % of Total Weighted Average Coupon Weighted Average Maturity Weighted Average CLTOMV < 1 year 53,960,262 3.6% 502 3.2% 4.40 29.8 96.0% 1 year 2 years 792,098,114 52.8% 7,898 50.5% 4.79 31.6 96.8% 2 years 3 years 265,828,890 17.7% 2,737 17.5% 4.81 42.3 95.4% 3 years 4 years 95,671,734 6.4% 1,008 6.5% 4.66 41.9 94.5% 4 years 5 years 89,271,215 5.9% 993 6.4% 5.50 40.9 95.1% 5 years 6 years 74,552,504 5.0% 849 5.4% 5.26 40.6 92.9% 6 years 7 years 64,505,455 4.3% 770 4.9% 4.72 38.1 89.9% 7 years 8 years 51,860,088 3.5% 692 4.4% 4.34 35.7 82.1% 8 years 9 years 13,714,994 0.9% 184 1.2% 4.27 33.6 81.0% 9 years 10 years 237,257 0.0% 4 0.0% 4.34 38.0 100.7% 10 years 11 years - - - - - - - 11 years 12 years - - - - - - - 12 years 13 years - - - - - - - 13 years 14 years - - - - - - - 14 years 15 years - - - - - - - 15 years 16 years - - - - - - - 16 years 17 years - - - - - - - 17 years 18 years - - - - - - - 18 years 19 years - - - - - - - 19 years 20 years - - - - - - - 20 years > - - - - - - - Total 1,501,700,514 100.0% 15,637 100.0% 4.81 35.5 95.1% Weighted Average 2.5 Minimum 0.1 Maximum 9.0 From ( >= ) Until ( < ) Aggregate Outstanding Not. Amount % of Total Nr of Loanparts % of Total Weighted Average Coupon Weighted Average Maturity Weighted Average CLTOMV < 1995 - - - - - - - 1995 1996 - - - - - - - 1996 1997 - - - - - - - 1997 1998 - - - - - - - 1998 1999 - - - - - - - 1999 2000 - - - - - - - 2000 2001 - - - - - - - 2001 2002 - - - - - - - 2002 2003 - - - - - - - 2003 2004 - - - - - - - 2004 2005 - - - - - - - 2005 2006 12,676,233 0.8% 172 1.1% 4.30 33.9 81.1% 2006 2007 45,639,572 3.0% 608 3.9% 4.31 35.3 81.2% 2007 2008 66,618,731 4.4% 810 5.2% 4.66 37.8 89.3% 2008 2009 77,800,033 5.2% 886 5.7% 5.24 40.6 92.9% 2009 2010 86,867,736 5.8% 969 6.2% 5.50 41.0 95.1% 2010 2011 81,925,922 5.5% 865 5.5% 4.72 41.8 93.9% 2011 2012 283,568,213 18.9% 2,919 18.7% 4.80 42.3 95.5% 2012 2013 792,132,440 52.8% 7,902 50.5% 4.79 31.6 96.8% 2013 2014 54,471,633 3.6% 506 3.2% 4.40 30.0 96.0% 2014 2015 - - - - - - - 2015 2016 - - - - - - - Total 1,501,700,514 100.0% 15,637 100.0% 4.81 35.5 95.1%
  68. 68. 68 Legal maturity Portfolio stratification (cont’d) From ( >= ) Until ( < ) Aggregate Outstanding Not. Amount % of Total Nr of Loanparts % of Total Weighted Average Coupon Weighted Average Maturity Weighted Average CLTOMV < 2015 17,596 - 2 0.0% 2.49 0.7 95.6% 2015 2020 266,060 0.0% 11 0.1% 4.59 5.3 75.8% 2020 2025 2,552,232 0.2% 62 0.4% 4.84 8.9 74.4% 2025 2030 19,064,954 1.3% 322 2.1% 4.87 14.1 76.9% 2030 2035 118,666,335 7.9% 1,303 8.3% 4.99 18.9 88.2% 2035 2040 224,980,875 15.0% 2,168 13.9% 5.04 23.6 94.0% 2040 2045 763,722,388 50.9% 7,037 45.0% 4.77 28.5 97.9% 2045 2050 1,535,558 0.1% 16 0.1% 4.24 33.5 39.8% 2050 2055 3,381,509 0.2% 46 0.3% 4.36 38.7 55.1% 2055 2060 9,093,236 0.6% 120 0.8% 4.31 43.6 72.1% 2060 2065 20,170,962 1.3% 269 1.7% 4.59 48.7 81.9% 2065 2070 33,960,652 2.3% 451 2.9% 4.63 53.7 88.5% 2070 2075 50,674,047 3.4% 661 4.2% 4.68 58.5 92.8% 2075 2080 68,187,497 4.5% 872 5.6% 4.71 63.7 95.1% 2080 2085 107,340,887 7.2% 1,339 8.6% 4.77 68.5 96.8% 2085 2090 78,085,726 5.2% 958 6.1% 4.78 73.1 98.3% 2090 2095 - - - - - - - 2095 2100 - - - - - - - Total 1,501,700,514 100.0% 15,637 100.0% 4.81 35.5 95.1% Weighted Average - Minimum 2014 Maximum 2089
  69. 69. 69 Remaining tenor Portfolio stratification (cont’d) * The Remaining Tenor is defined as the period between the Cut-Off Date and the legal maturity date of the Loan Part From ( >= ) Until ( < ) Aggregate Outstanding Not. Amount % of Total Nr of Loanparts % of Total Weighted Average Coupon Weighted Average Maturity Weighted Average CLTOMV < 1 year 17,596 - 2 0.0% 2.49 0.7 95.6% 1 year 2 years - - - - - - - 2 years 3 years - - - - - - - 3 years 4 years 32,264 - 3 0.0% 3.91 3.5 89.8% 4 years 5 years 28,696 - 2 0.0% 4.62 4.8 49.8% 5 years 6 years 205,100 0.0% 6 0.0% 4.69 5.6 77.2% 6 years 7 years 128,732 0.0% 6 0.0% 4.62 6.6 74.6% 7 years 8 years 520,542 0.0% 13 0.1% 4.61 7.5 73.2% 8 years 9 years 839,116 0.1% 21 0.1% 4.83 8.6 76.1% 9 years 10 years 398,109 0.0% 10 0.1% 5.00 9.5 82.4% 10 years 11 years 665,734 0.0% 12 0.1% 4.99 10.4 68.5% 11 years 12 years 1,111,588 0.1% 18 0.1% 4.75 11.5 76.6% 12 years 13 years 2,270,735 0.2% 35 0.2% 4.52 12.6 70.9% 13 years 14 years 6,271,541 0.4% 127 0.8% 4.96 13.7 72.6% 14 years 15 years 3,725,971 0.3% 61 0.4% 4.84 14.5 77.2% 15 years 16 years 5,685,119 0.4% 81 0.5% 4.97 15.5 83.9% 16 years 17 years 7,444,263 0.5% 104 0.7% 4.89 16.6 82.3% 17 years 18 years 19,470,550 1.3% 219 1.4% 4.99 17.4 87.8% 18 years 19 years 46,066,541 3.1% 505 3.2% 4.93 18.7 85.7% 19 years 20 years 21,081,309 1.4% 236 1.5% 5.01 19.5 91.0% 20 years 21 years 24,603,672 1.6% 239 1.5% 5.09 20.5 92.5% 21 years 22 years 31,739,937 2.1% 324 2.1% 4.90 21.5 93.6% 22 years 23 years 42,922,396 2.9% 425 2.7% 4.70 22.5 93.3% 23 years 24 years 56,453,623 3.8% 537 3.4% 4.87 23.5 93.5% 24 years 25 years 47,752,929 3.2% 457 2.9% 5.24 24.5 93.7% 25 years 26 years 46,111,990 3.1% 425 2.7% 5.47 25.5 95.7% 26 years 27 years 34,707,107 2.3% 301 1.9% 4.94 26.6 95.5% 27 years 28 years 106,159,187 7.1% 931 6.0% 4.88 27.3 96.9% 28 years 29 years 576,072,441 38.4% 5,393 34.5% 4.77 28.7 98.3% 29 years 30 years 46,660,560 3.1% 410 2.6% 4.39 29.5 96.9% 30 years 40 years 4,037,611 0.3% 49 0.3% 4.36 36.1 48.8% 40 years 50 years 25,372,608 1.7% 337 2.2% 4.47 46.2 76.7% 50 years 60 years 79,103,628 5.3% 1,031 6.6% 4.65 55.7 90.5% 60 years 70 years 163,615,824 10.9% 2,085 13.3% 4.73 65.7 95.6% 70 years 80 years 100,423,497 6.7% 1,232 7.9% 4.79 72.5 98.2% 80 years 90 years - - - - - - - 90 years > - - - - - - - Total 1,501,700,514 100.0% 15,637 100.0% 4.81 35.5 95.1% Weighted Average 35.5 Minimum 0.6 Maximum 75.9
  70. 70. 70 Original loan to original foreclosure value Portfolio stratification (cont’d) * Original Loan to Original Foreclosure Value is defined as: Original Principle Amount / Original Foreclosure Value From ( > ) Until ( <= ) Aggregate Outstanding Not. Amount % of Total Nr of Loans % of Total Weighted Average Coupon Weighted Average Maturity Weighted Average CLTOMV Unknown 0% - - - - - - - < 10% - - - - - - - 10% 20% 55,000 - 1 0.0% 4.30 49.1 17.7% 20% 30% 1,260,996 0.1% 15 0.2% 4.28 40.8 22.1% 30% 40% 4,347,270 0.3% 48 0.6% 4.09 33.8 31.0% 40% 50% 7,820,110 0.5% 76 1.0% 4.15 33.6 39.6% 50% 60% 14,657,460 1.0% 123 1.5% 4.16 32.4 46.9% 60% 70% 18,038,710 1.2% 151 1.9% 4.52 29.9 55.3% 70% 80% 26,045,705 1.7% 191 2.4% 4.65 30.5 63.2% 80% 90% 48,187,099 3.2% 316 3.9% 4.65 31.6 73.0% 90% 100% 86,794,546 5.8% 555 6.9% 4.72 32.0 81.6% 100% 110% 117,594,624 7.8% 652 8.1% 4.72 32.5 90.2% 110% 120% 792,145,030 52.8% 3,923 48.9% 4.85 37.6 98.7% 120% 130% 384,753,965 25.6% 1,979 24.7% 4.88 34.3 103.1% 130% 140% - - - - - - - 140% 150% - - - - - - - 150% > - - - - - - - Total 1,501,700,514 100.0% 8,030 100.0% 4.81 35.5 95.1% Weighted Average 111.9% Minimum 19.6% Maximum 130.0%
  71. 71. 71 Current loan to original foreclosure value Portfolio stratification (cont’d) * Current Loan to Original Foreclosure Value is defined as: (Outstanding Principle Amount – Total Savings Amount) / Original Foreclosure Value From ( > ) Until ( <= ) Aggregate Outstanding Not. Amount % of Total Nr of Loans % of Total Weighted Average Coupon Weighted Average Maturity Weighted Average CLTOMV Unknown 0% - - - - - - - < 10% - - - - - - - 10% 20% 232,488 0.0% 4 0.1% 4.71 25.1 17.6% 20% 30% 1,787,476 0.1% 22 0.3% 4.24 40.9 22.8% 30% 40% 5,498,849 0.4% 59 0.7% 4.15 32.6 32.4% 40% 50% 11,364,012 0.8% 106 1.3% 4.29 31.8 41.4% 50% 60% 17,894,327 1.2% 154 1.9% 4.33 32.1 49.9% 60% 70% 26,621,905 1.8% 206 2.6% 4.60 29.5 58.6% 70% 80% 38,800,041 2.6% 267 3.3% 4.71 30.6 68.1% 80% 90% 77,247,080 5.1% 489 6.1% 4.74 32.3 77.0% 90% 100% 151,436,305 10.1% 876 10.9% 4.85 34.2 85.9% 100% 110% 420,609,906 28.0% 2,131 26.5% 4.91 38.3 95.3% 110% 120% 627,708,147 41.8% 3,087 38.4% 4.81 35.9 102.9% 120% 130% 122,499,978 8.2% 629 7.8% 4.74 31.7 109.6% 130% 140% - - - - - - - 140% 150% - - - - - - - 150% > - - - - - - - Total 1,501,700,514 100.0% 8,030 100.0% 4.81 35.5 95.1% Weighted Average 105.8% Minimum 19.1% Maximum 128.5%

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