november investor report - aegon covered bond program · asset cover test 4 counterparty credit...

AEGON Bank N.V.

Monthly Investor Report

Dutch National Transparency Template

Covered Bond

Reporting period: 1 November 2017 - 30 November 2017

www.intertrustgroup.com Report Version 2.1 - February 2016

Reporting Date: 27 December 2017

AMOUNTS ARE IN EURO

Intertrust Administrative Services

[email protected]

AEGON Bank N.V.

Investor Report: 1 November 2017 - 30 November 2017

Table of Contents

Page

Covered Bonds 3

Asset Cover Test 4

Counterparty Credit Ratings & Triggers 5

Ledgers & Investments 6

Regulatory Information 7

Delinquencies 8

Stratifications 9

Glossary 26

Contact Information 28

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ISIN CurrencyInitial Principal

Balance*

Outstanding

Amount* Coupon

Issuance

Date

Redemption

Type

LCR HQLA

Category

XS1327151228 EUR 750,000,000 750,000,000 0.2500% 01-12-15 Pass-through L1




AEGON Bank N.V.


Covered Bonds

SeriesMaturity

DateIRS Counterparty

Series Number 1 -

Tranche Number 1

01-12-20

Series Number 2 -

Tranche Number 2

25-05-23

Series Number 3 -

Tranche Number 3

27-06-27

Series Number 4 -

Tranche Number 1

21-11-24

* Amounts to be reported in the relevant currency, and also the euro-equivalent amounts

The issuer believes that, at the time of its issuance and based on transparency data made publicly available by the issuer, this bond would satisfy the eligibility criteria for its classification as a Level 1 or Level 2

asset in accordance with Chapter 2 of the LCR delegated act. It should be noted that whether or not a bond is a liquid asset for the purposes of the Liquidity Coverage Ratio under Regulation (EU) 575/2013 is

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Asset Cover Test

A

B

C

D

E

X

Y

Z

Total: A+B+C+D+E-X-Y-Z

Outstanding bonds

Pass/Fail

ACT Cover Ratio

Parameters

Asset percentage

Cap LTV Cut-Off indexed valuation % non-NHG

Cap LTV Cut-Off indexed valuation % NHG

% of Index Increases

% of Index Decreases

Reserve Fund

Reserve Account Required Amount*

Supplemental Liquidity Reserve Amount

Deduction Set-Off

Ratings

S&P

Moody's

Fitch

Other

UCITS compliant

CRR compliant

ECBC Label compliant

Overcollateralisation

Legally required minimum OC

Documented minimum OC

Available Nominal OC

First Regulatory Current Balance Amount test

Ratio 123%

Pass / Fail Pass

Second Regulatory Currrent Balance Amount test

Ratio 117%

Pass / Fail Pass

*Interest accrual based on Calculation Date

AEGON Bank N.V.


Asset Cover Test

2,566,527,530.30

9,984,262.49

0.00

0.00

0.00

0.00

0.00

0.00

2,576,511,792.79

2,250,000,000.00

Pass

114.51%

93.00%

80.00%

80.00%

90.00%

100.00%

9,984,262.49

0.00

583,026.53

3,837,020.55

AAA

N/A

AAA

True

True

True

5.00%

10.00%

23.18%

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Role Party Rating trigger Current

rating

Rating

trigger

Current

rating

Rating

trigger

Current

rating

Consequence if breached*

CBC ACCOUNT BANK N.V. Bank Nederlandse

Gemeenten

/ A / AAA / / F1 / A / Another party (with sufficient

ratings) has to fulfill the CBC

Account Bank role or guarantee

the relevant CBC Account Bank

obligations

ISSUER AEGON Bank N.V. A-1 / A A-1+ / A+ / / F1 / A / Set off retail savings at issuer

account above deposit guarantee

scheme

AEGON Bank N.V.


Counterparty Credit Ratings & Triggers

S&P (ST/LT) Moody's (ST/LT) Fitch (ST/LT) DBRS (ST/LT)

* Event is triggered if credit rating is below the rating as mentioned in the table

Current

rating

Rating

trigger

F1+ / AA+ /

F2 / A- /

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Ledgers

Investments

Liquidity Buffer

AEGON Bank N.V.


Ledgers & Investments

Revenue Ledger 0.00

Principal Ledger 0.00

Reserve Fund Ledger 0.00

Total 0.00

Substitution Assets Balance 0.00

Authorised Investments Balance 0.00

Total 0.00

Outflows 0.00

Required Liquidity Buffer 0.00

Available Liquidity Buffer 9,984,262.49

Inflows 0.00

Cash 9,984,262.49

Bonds 0.00

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AEGON Bank N.V.


Regulatory Information

CRR Article 129

Article 129 CRR "Exposures in the form of covered bonds"

(7) Exposures in the form of covered bonds are eligible for preferential treatment, provided that the institution investing in the covered bonds can

demonstrate to the competent authorities that:

(a) it receives portfolio information at least on:

(i) the value of the covered pool and outstanding covered bonds;

value of the cover pool table Portfolio characteristics

value of the outstanding covered bonds table Covered Bonds

(ii) the geographical distribution and type of cover assets, loan size,

interest rate and currency risks;

geographical distribution of cover assets table 14 Geographical Distribution

type of cover assets table Portfolio Characteristics

loan size table 3 Outstanding Loan Amount

interest rate risk and currency risk table Covered Bonds for coupon and currency information of the covered bonds

table 10 Coupon for coupons of mortgages

table Counterparty Ratings & Triggers for IRS/TRS information

See base prospectus for information about hedging

Only EUR denominated mortgages: see BP

(iii) the maturity structure of cover assets and covered bonds; and

maturity structure of cover assets table 6 Legal Maturity

maturity structure of covered bonds table Covered Bonds

(iv) the percentage of loans more than ninety days past due; table Delinquencies

(b) the issuer makes the information referred to in point (a)

available to the institution at least semi annually.

table Portfolio Characteristics

Overcollateralisation

Legally required minimum OC table Asset Cover Test

Documented minimum OC table Asset Cover Test

Nominal OC table Asset Cover Test

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Until ( <= ) Arrears Amount Aggregate

Outstanding Not.

Amount

% of Total Nr of Mortgage

Loans

% of Total Weighted Aveage

CLTIMV

Performing 0.00 2,760,348,009.16 99.87% 15,524 99.85% 74.42%

30 days 10,279.44 3,237,783.82 0.12% 20 0.13% 81.48%

60 days 3,366.22 298,767.53 0.01% 3 0.02% 80.73%

90 days 0.00 0.00 0.00% 0 0.00% 0.00%

120 days 0.00 0.00 0.00% 0 0.00% 0.00%

150 days 0.00 0.00 0.00% 0 0.00% 0.00%

180 days 0.00 0.00 0.00% 0 0.00% 0.00%

> 0.00 0.00 0.00% 0 0.00% 0.00%

Total 13,645.66 2,763,884,560.51 100.00% 15,547 100.00% 74.44%

AEGON Bank N.V.


Delinquencies

From ( > ) Weighted

Average Coupon

Weighted

Average Maturity

3.37% 27.11

<= 3.58% 27.35

30 days 4.02% 24.53

60 days 0.00% 0.00

90 days 0.00% 0.00

120 days 0.00% 0.00

3.37% 27.11

150 days 0.00% 0.00

180 days 0.00% 0.00

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AEGON Bank N.V.


Stratifications

Portfolio Characteristics

Principal amount 2,887,926,261.25

Value of saving deposits 124,041,700.74

Net principal balance 2,763,884,560.51

Construction Deposits 1,235,766.08

Net principal balance excl. Construction and Saving Deposits 2,762,648,794.43

Number of loans 15,547

Number of loanparts 29,465

Average principal balance (borrower) 177,776.07

Average principal balance (loanpart) 93,802.29

Weighted average current interest rate 3.37%

Weighted average maturity (in years) 27.11

Weighted average remaining time to interest reset (in years) 14.36

Weighted average seasoning (in years) 3.18

Weighted average CLTOMV 82.28%

Weighted average CLTIMV 74.44%

Maximum current interest rate 7.40%

Minimum current interest rate 1.39%

Type of cover assets: Dutch Residential Mortgages

Currency Portfolio: EUR

Frequency of publication National Transparancy Template: Monthly

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Aggregate Outstanding Amount % of Total Nr of Loanparts Weighted Average

Maturity (year)

Weighted Average

CLTIMV

Annuity 1,412,580,102.16 51.11% 13,565 27.15 78.18%

Bank Savings 183,384,744.86 6.64% 2,337 19.64 70.41%

Interest Only 788,394,991.04 28.52% 9,316 31.58 68.89%

Investments

Life Insurance 69,353,719.63 2.51% 692 16.79 77.61%

Linear 130,395,826.47 4.72% 1,485 26.59 71.22%

Savings 179,775,176.35 6.50% 2,070 19.28 74.60%

Other

Total 2,763,884,560.51 100.00% 29,465 27.11 74.44%

AEGON Bank N.V.


2. Redemption Type

% of Total Weighted Average

Coupon

46.04% 3.16%

7.93% 4.05%

31.62% 3.27%

2.35% 3.90%

100.00% 3.37%

5.04% 2.97%

7.03% 4.89%

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From (>) - Until (<=) Aggregate Outstanding Amount % of Total Nr of Loans Weighted Average

Maturity (year)

Weighted Average

CLTIMV

<= 25,000 1,200,130.42 0.04% 79 22.59 8.41%

25,000 - 50,000 10,736,714.44 0.39% 265 23.94 24.04%

50,000 - 75,000 29,363,315.98 1.06% 454 23.74 40.02%

75,000 - 100,000 88,118,292.64 3.19% 985 25.60 55.58%

100,000 - 150,000 520,841,205.61 18.84% 4,075 26.98 69.61%

150,000 - 200,000 803,408,283.03 29.07% 4,617 27.44 76.64%

200,000 - 250,000 739,789,848.67 26.77% 3,321 27.25 80.32%

250,000 - 300,000 255,996,090.71 9.26% 943 27.11 75.62%

300,000 - 350,000 118,049,190.11 4.27% 368 27.14 73.71%

350,000 - 400,000 67,136,920.38 2.43% 180 27.08 72.66%

400,000 - 450,000 46,295,743.47 1.68% 110 26.92 72.68%

450,000 - 500,000 25,160,690.68 0.91% 53 27.13 71.96%

500,000 - 550,000 14,547,789.38 0.53% 28 27.64 72.27%

550,000 - 600,000 20,099,020.95 0.73% 35 26.42 71.61%

600,000 - 650,000 8,067,793.93 0.29% 13 26.30 61.73%

650,000 - 700,000 4,705,823.75 0.17% 7 26.54 73.79%

700,000 - 750,000 6,494,938.44 0.23% 9 26.93 68.92%

750,000 - 800,000 3,872,767.92 0.14% 5 27.41 65.95%

800,000 - 850,000

850,000 - 900,000

900,000 - 950,000

950,000 - 1,000,000

1,000,000 >

Total 2,763,884,560.51 100.00% 15,547 27.11 74.44%

AEGON Bank N.V.


3. Outstanding Loan Amount


Coupon

0.51% 2.66%

1.70% 3.28%

2.92% 3.57%

6.34% 3.53%

26.21% 3.50%

29.70% 3.32%

21.36% 3.22%

6.07% 3.62%

2.37% 3.51%

1.16% 3.42%

0.71% 3.39%

0.34% 3.34%

0.18% 3.30%

0.23% 3.06%

0.08% 3.28%

0.05% 3.38%

0.06% 3.30%

0.03% 3.26%

100.00% 3.37%

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From (>=) - Until (<) Aggregate Outstanding Amount % of Total Nr of Loanparts Weighted Average

Maturity (year)

Weighted Average

CLTIMV

< 1996

1996 - 1997

1997 - 1998

1998 - 1999

1999 - 2000

2000 - 2001

2001 - 2002

2002 - 2003

2003 - 2004

2004 - 2005 573,281.79 0.02% 5 20.37 83.01%

2005 - 2006 17,866,081.66 0.65% 136 18.25 85.17%

2006 - 2007 8,572,823.15 0.31% 82 21.51 80.98%

2007 - 2008 24,738,966.31 0.90% 350 32.37 77.41%

2008 - 2009 50,920,661.57 1.84% 707 30.77 72.14%

2009 - 2010 77,378,835.70 2.80% 919 31.15 77.39%

2010 - 2011 80,590,140.10 2.92% 975 32.29 74.48%

2011 - 2012 43,870,318.92 1.59% 495 32.07 79.78%

2012 - 2013 96,554,748.01 3.49% 1,115 30.43 70.22%

2013 - 2014 277,349,421.01 10.03% 3,026 24.58 72.01%

2014 - 2015 604,143,378.08 21.86% 6,670 25.29 68.07%

2015 - 2016 695,329,948.59 25.16% 7,135 26.53 70.61%

2016 - 2017 355,253,650.33 12.85% 3,631 27.58 80.47%

2017 >= 430,742,305.29 15.58% 4,219 28.69 85.53%

Total 2,763,884,560.51 100.00% 29,465 27.11 74.44%

AEGON Bank N.V.


4. Origination Year


Coupon

0.02% 3.21%

0.46% 3.43%

0.28% 3.44%

1.19% 4.27%

2.40% 4.94%

3.12% 4.92%

3.31% 4.75%

1.68% 4.63%

3.78% 4.23%

10.27% 3.86%

22.64% 3.68%

100.00% 3.37%

24.22% 3.15%

12.32% 2.68%

14.32% 2.48%

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Maturity (year)

Weighted Average

CLTIMV

< 1 year 430,742,305.29 15.58% 4,219 28.69 85.53%

1 year - 2 years 355,253,650.33 12.85% 3,631 27.58 80.47%

2 years - 3 years 695,329,948.59 25.16% 7,135 26.53 70.61%

3 years - 4 years 604,143,378.08 21.86% 6,670 25.29 68.07%

4 years - 5 years 277,349,421.01 10.03% 3,026 24.58 72.01%

5 years - 6 years 96,554,748.01 3.49% 1,115 30.43 70.22%

6 years - 7 years 43,870,318.92 1.59% 495 32.07 79.78%

7 years - 8 years 80,590,140.10 2.92% 975 32.29 74.48%

8 years - 9 years 77,378,835.70 2.80% 919 31.15 77.39%

9 years - 10 years 50,920,661.57 1.84% 707 30.77 72.14%

10 years - 11 years 24,738,966.31 0.90% 350 32.37 77.41%

11 years - 12 years 8,572,823.15 0.31% 82 21.51 80.98%

12 years - 13 years 17,866,081.66 0.65% 136 18.25 85.17%

13 years - 14 years 573,281.79 0.02% 5 20.37 83.01%

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 - 21 years

21 years - 22 years

22 years - 23 years

23 years - 24 years

24 years - 25 years

25 years - 26 years

26 years - 27 years

27 years - 28 years

28 years - 29 years

29 years - 30 years

30 years >

Total 2,763,884,560.51 100.00% 29,465 27.11 74.44%

AEGON Bank N.V.


5. Seasoning


Coupon

14.32% 2.48%

12.32% 2.68%

24.22% 3.15%

22.64% 3.68%

10.27% 3.86%

3.78% 4.23%

1.68% 4.63%

3.31% 4.75%

3.12% 4.92%

2.40% 4.94%

1.19% 4.27%

0.28% 3.44%

0.46% 3.43%

0.02% 3.21%

100.00% 3.37%

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Maturity (year)

Weighted Average

CLTIMV

< 2017

2017 - 2020 526,613.03 0.02% 25 0.54 57.44%

2020 - 2025 6,411,615.98 0.23% 256 5.47 48.21%

2025 - 2030 36,492,800.84 1.32% 754 10.27 56.53%

2030 - 2035 133,261,201.13 4.82% 1,885 14.80 65.19%

2035 - 2040 218,531,656.47 7.91% 2,497 19.71 75.20%

2040 - 2045 918,031,405.63 33.22% 9,507 25.88 71.20%

2045 - 2050 1,335,023,164.58 48.30% 12,826 28.37 78.01%

2050 - 2055 314,390.46 0.01% 8 36.27 56.90%

2055 - 2060 3,099,225.80 0.11% 52 39.89 71.02%

2060 - 2065 8,496,043.04 0.31% 131 44.94 69.76%

2065 - 2070 17,404,723.27 0.63% 270 49.84 69.28%

2070 - 2075 27,444,837.16 0.99% 396 54.35 74.02%

2075 - 2080 23,512,594.62 0.85% 338 59.48 78.08%

2080 - 2085 22,503,478.52 0.81% 317 64.34 78.25%

2085 - 2090 10,480,754.63 0.38% 165 68.81 80.43%

2090 - 2095 2,350,055.35 0.09% 38 72.85 81.80%

2095 >=

Total 2,763,884,560.51 100.00% 29,465 27.11 74.44%

AEGON Bank N.V.


6. Legal Maturity


Coupon

0.08% 3.18%

0.87% 3.68%

2.56% 4.21%

6.40% 3.97%

8.47% 4.05%

32.27% 3.78%

43.53% 2.83%

0.03% 4.78%

0.18% 4.35%

0.44% 4.35%

0.92% 4.04%

1.34% 4.08%

1.15% 4.22%

100.00% 3.37%

1.08% 4.35%

0.56% 4.44%

0.13% 4.41%

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Maturity (year)

Weighted Average

CLTIMV

1 year 446,049.82 0.02% 11 0.35 58.93%

1 year(s) - 2 year(s) 69,821.21 0.00% 13 1.49 49.56%

2 year(s) - 3 year(s) 208,435.44 0.01% 27 2.57 46.67%

3 year(s) - 4 year(s) 767,509.33 0.03% 31 3.46 52.13%

4 year(s) - 5 year(s) 930,078.22 0.03% 41 4.54 47.34%

5 year(s) - 6 year(s) 1,779,256.41 0.06% 63 5.48 45.77%

6 year(s) - 7 year(s) 2,421,335.93 0.09% 84 6.49 48.37%

7 year(s) - 8 year(s) 3,262,172.44 0.12% 96 7.45 54.35%

8 year(s) - 9 year(s) 4,291,140.00 0.16% 111 8.51 50.34%

9 year(s) - 10 year(s) 5,440,922.23 0.20% 121 9.51 55.71%

10 year(s) - 11 year(s) 9,940,873.95 0.36% 193 10.46 54.28%

11 year(s) - 12 year(s) 12,276,652.66 0.44% 221 11.52 59.50%

12 year(s) - 13 year(s) 17,790,397.02 0.64% 266 12.48 64.16%

13 year(s) - 14 year(s) 26,341,288.29 0.95% 415 13.48 63.46%

14 year(s) - 15 year(s) 26,928,912.11 0.97% 372 14.45 64.61%

15 year(s) - 16 year(s) 26,945,438.56 0.97% 368 15.44 65.37%

16 year(s) - 17 year(s) 32,754,355.75 1.19% 438 16.48 67.13%

17 year(s) - 18 year(s) 45,684,661.91 1.65% 542 17.45 72.47%

18 year(s) - 19 year(s) 37,518,148.35 1.36% 442 18.38 73.98%

19 year(s) - 20 year(s) 34,305,477.26 1.24% 421 19.42 74.16%

20 year(s) - 21 year(s) 41,664,196.05 1.51% 485 20.48 74.80%

21 year(s) - 22 year(s) 53,193,344.44 1.92% 556 21.54 78.29%

22 year(s) - 23 year(s) 62,590,361.14 2.26% 622 22.32 77.91%

23 year(s) - 24 year(s) 29,812,539.24 1.08% 304 23.47 81.23%

24 year(s) - 25 year(s) 45,157,345.30 1.63% 466 24.38 77.53%

25 year(s) - 26 year(s) 240,459,397.79 8.70% 2,523 25.54 72.44%

26 year(s) - 27 year(s) 504,228,786.85 18.24% 5,200 26.58 69.43%

27 year(s) - 28 year(s) 603,638,979.03 21.84% 5,960 27.45 69.97%

28 year(s) - 29 year(s) 311,493,615.16 11.27% 2,980 28.42 79.06%

29 year(s) - 30 year(s) 465,936,965.77 16.86% 4,378 29.39 86.35%

30 year(s) >= 115,606,102.85 4.18% 1,715 57.22 75.25%

Total 2,763,884,560.51 100.00% 29,465 27.11 74.44%

AEGON Bank N.V.


7. Remaining Tenor


Coupon

0.04% 2.97%

0.04% 4.07%

0.09% 4.02%

0.11% 3.72%

0.14% 3.53%

0.21% 3.94%

0.29% 3.43%

0.33% 3.82%

0.38% 3.88%

0.41% 4.02%

0.66% 4.43%

0.75% 4.31%

0.90% 4.02%

1.41% 3.89%

1.26% 4.16%

1.25% 3.92%

1.49% 3.92%

1.84% 3.67%

1.50% 3.64%

1.43% 3.65%

1.65% 4.41%

1.89% 4.43%

2.11% 4.59%

1.03% 4.26%

1.58% 4.19%

8.56% 3.82%

17.65% 3.64%

20.23% 3.18%

10.11% 2.80%

14.86% 2.47%

5.82% 4.22%

100.00% 3.37%

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Maturity (year)

Weighted Average

CLTIMV

NHG 1,861,313,529.98 67.34% 11,322 27.39 79.35%

<= 10 % 1,023,710.84 0.04% 57 22.92 6.45%

10 % - 20 % 6,304,490.12 0.23% 123 24.50 14.09%

20 % - 30 % 14,106,451.11 0.51% 179 25.14 22.17%

30 % - 40 % 33,887,041.78 1.23% 293 25.14 31.32%

40 % - 50 % 67,845,467.78 2.45% 458 25.76 40.57%

50 % - 60 % 108,093,160.16 3.91% 557 26.05 49.14%

60 % - 70 % 169,995,201.62 6.15% 743 26.03 57.78%

70 % - 80 % 180,865,086.99 6.54% 713 26.76 67.18%

80 % - 90 % 101,498,345.11 3.67% 389 27.00 76.44%

90 % - 100 % 183,999,062.11 6.66% 608 27.38 84.94%

100 % - 110 % 34,953,012.91 1.26% 105 27.58 90.23%

110 % - 120 %

120 % - 130 %

130 % - 140 %

140 % - 150 %

150 % >

Total 2,763,884,560.51 100.00% 15,547 27.11 74.44%

AEGON Bank N.V.


8. Current Loan to Original Market Value


Coupon

72.82% 3.42%

0.37% 2.56%

0.79% 2.83%

1.15% 2.90%

1.88% 3.00%

2.95% 3.06%

3.58% 3.15%

4.78% 3.08%

4.59% 3.19%

2.50% 3.66%

3.91% 3.59%

0.68% 3.44%

100.00% 3.37%

of 28


Maturity (year)

Weighted Average

CLTIMV

NHG 1,861,313,529.98 67.34% 11,322 27.39 79.35%

<= 10 % 1,470,376.41 0.05% 70 23.69 7.27%

10 % - 20 % 8,969,857.74 0.32% 155 24.91 15.82%

20 % - 30 % 22,122,595.19 0.80% 240 24.87 25.64%

30 % - 40 % 52,267,842.21 1.89% 383 25.59 35.40%

40 % - 50 % 108,505,950.13 3.93% 625 25.60 45.43%

50 % - 60 % 173,534,411.37 6.28% 766 26.07 55.33%

60 % - 70 % 173,848,150.52 6.29% 733 26.49 65.03%

70 % - 80 % 163,867,846.29 5.93% 591 26.78 75.36%

80 % - 90 % 147,958,848.45 5.35% 489 27.52 84.90%

90 % - 100 % 45,307,603.44 1.64% 157 28.79 93.95%

100 % - 110 % 4,717,548.78 0.17% 16 29.25 100.73%

110 % - 120 %

120 % - 130 %

130 % - 140 %

140 % - 150 %

150 % >

Total 2,763,884,560.51 100.00% 15,547 27.11 74.44%

AEGON Bank N.V.


9. Current Loan to Indexed Market Value


Coupon

72.82% 3.42%

0.45% 2.62%

1.00% 2.83%

1.54% 2.96%

2.46% 3.08%

4.02% 3.10%

4.93% 3.17%

4.71% 3.19%

3.80% 3.49%

3.15% 3.63%

1.01% 3.16%

0.10% 2.99%

100.00% 3.37%

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From (>) - Until (<=) Aggregate Outstanding Amount % of Total Nr of Loanparts Weighted Average

Maturity (year)

Weighted Average

CLTIMV

<= 0.50 %

0.50 % - 1.00 %

1.00 % - 1.50 % 1,436,659.45 0.05% 20 26.00 64.60%

1.50 % - 2.00 % 148,334,527.47 5.37% 2,247 27.63 60.11%

2.00 % - 2.50 % 420,084,905.97 15.20% 4,321 28.28 82.66%

2.50 % - 3.00 % 750,161,530.30 27.14% 7,514 27.64 75.48%

3.00 % - 3.50 % 283,875,270.51 10.27% 2,820 26.78 72.45%

3.50 % - 4.00 % 385,025,978.19 13.93% 3,878 25.75 73.17%

4.00 % - 4.50 % 390,340,914.89 14.12% 4,213 25.49 70.88%

4.50 % - 5.00 % 191,204,663.38 6.92% 2,200 28.88 75.45%

5.00 % - 5.50 % 153,103,211.72 5.54% 1,787 28.47 76.53%

5.50 % - 6.00 % 38,096,506.56 1.38% 440 21.25 70.34%

6.00 % - 6.50 % 2,124,967.22 0.08% 20 16.85 72.58%

6.50 % - 7.00 % 81,735.00 0.00% 3 5.30 8.52%

7.00 % > 13,689.85 0.00% 2 2.19 7.09%

Total 2,763,884,560.51 100.00% 29,465 27.11 74.44%

AEGON Bank N.V.


10. Loanpart Coupon (interest rate bucket)


Coupon

0.07% 1.48%

7.63% 1.91%

14.66% 2.32%

25.50% 2.77%

9.57% 3.30%

13.16% 3.80%

14.30% 4.19%

7.47% 4.77%

6.06% 5.24%

0.01% 7.19%

100.00% 3.37%

1.49% 5.71%

0.07% 6.12%

0.01% 6.79%

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Maturity (year)

Weighted Average

CLTIMV

< 1 year(s) 187,990,481.04 6.80% 2,583 27.91 64.02%

1 year(s) - 2 year(s) 49,848,130.64 1.80% 633 28.17 76.45%

2 year(s) - 3 year(s) 78,301,231.46 2.83% 935 30.67 76.21%

3 year(s) - 4 year(s) 35,450,363.93 1.28% 388 26.91 80.53%

4 year(s) - 5 year(s) 43,993,002.74 1.59% 550 29.88 74.92%

5 year(s) - 6 year(s) 209,026,488.16 7.56% 2,292 24.61 74.42%

6 year(s) - 7 year(s) 104,730,022.46 3.79% 1,206 25.21 70.70%

7 year(s) - 8 year(s) 52,444,826.55 1.90% 651 25.52 66.32%

8 year(s) - 9 year(s) 33,217,865.03 1.20% 414 25.68 72.49%

9 year(s) - 10 year(s) 77,491,364.73 2.80% 950 28.98 72.07%

10 year(s) - 11 year(s) 29,435,414.87 1.07% 430 27.50 68.67%

11 year(s) - 12 year(s) 31,139,658.90 1.13% 409 25.14 69.95%

12 year(s) - 13 year(s) 31,649,497.29 1.15% 391 22.47 62.90%

13 year(s) - 14 year(s) 25,909,012.53 0.94% 356 20.74 66.81%

14 year(s) - 15 year(s) 50,913,286.11 1.84% 593 24.72 69.20%

15 year(s) - 16 year(s) 11,052,291.77 0.40% 163 16.30 63.33%

16 year(s) - 17 year(s) 282,778,348.29 10.23% 2,948 25.37 70.93%

17 year(s) - 18 year(s) 523,486,853.11 18.94% 5,165 26.82 70.00%

18 year(s) - 19 year(s) 223,456,663.94 8.08% 2,201 27.75 77.25%

19 year(s) - 20 year(s) 407,377,609.08 14.74% 3,789 29.15 84.72%

20 year(s) - 21 year(s) 3,743,174.50 0.14% 42 24.36 71.29%

21 year(s) - 22 year(s) 2,058,545.95 0.07% 26 23.69 72.91%

22 year(s) - 23 year(s) 4,216,731.06 0.15% 51 28.88 68.01%

23 year(s) - 24 year(s) 2,193,305.07 0.08% 18 28.42 73.97%

24 year(s) - 25 year(s) 5,235,791.28 0.19% 58 31.14 77.85%

25 year(s) - 26 year(s) 3,345,494.91 0.12% 30 26.91 77.88%

26 year(s) - 27 year(s) 21,803,302.44 0.79% 196 26.64 72.97%

27 year(s) - 28 year(s) 57,538,085.05 2.08% 488 27.48 76.08%

28 year(s) - 29 year(s) 73,897,615.88 2.67% 628 28.68 86.56%

29 year(s) - 30 year(s) 99,871,083.74 3.61% 878 29.59 88.18%

30 year(s) >= 289,018.00 0.01% 3 54.13 72.78%

Total 2,763,884,560.51 100.00% 29,465 27.11 74.44%

AEGON Bank N.V.


11. Remaining Interest Rate Fixed Period


Coupon

8.77% 2.38%

2.15% 4.39%

3.17% 4.90%

1.32% 4.59%

1.87% 4.44%

7.78% 4.29%

4.09% 3.99%

2.21% 3.14%

1.41% 2.69%

3.22% 2.87%

1.46% 4.97%

1.39% 4.89%

1.33% 3.64%

1.21% 3.44%

2.01% 3.71%

0.55% 3.65%

10.01% 4.16%

17.53% 3.24%

7.47% 2.85%

12.86% 2.51%

0.14% 4.21%

0.09% 4.21%

0.17% 4.44%

0.06% 4.21%

0.20% 4.61%

0.10% 3.21%

0.67% 4.29%

1.66% 3.48%

2.13% 2.88%

2.98% 2.70%

0.01% 3.48%

100.00% 3.37%

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Maturity (year)

Weighted Average

CLTIMV

Fixed 2,603,935,134.60 94.21% 27,264 27.06 75.18%

Floating 159,949,425.91 5.79% 2,201 28.04 62.46%

Total 2,763,884,560.51 100.00% 29,465 27.11 74.44%

AEGON Bank N.V.


12. Interest Payment Type

100.00% 3.37%


Coupon

92.53% 3.45%

7.47% 2.07%

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Aggregate Outstanding Amount % of Total Nr of Loans Weighted Average

Maturity (year)

Weighted Average

CLTIMV

House 2,361,091,167.23 85.43% 12,609 27.09 74.64%

Apartment 402,746,707.23 14.57% 2,937 27.25 73.26%

House / Business (< 50%)

House / Business (>= 50%)

Other 46,686.05 0.00% 1 27.67 21.73%

Total 2,763,884,560.51 100.00% 15,547 27.11 74.44%

AEGON Bank N.V.


13. Property Description


Coupon

81.10% 3.39%

18.89% 3.30%

100.00% 3.37%

0.01% 2.44%

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Maturity (year)

Weighted Average

CLTIMV

Groningen 116,948,032.45 4.23% 757 27.27 78.54%

Friesland 111,104,055.39 4.02% 710 27.21 78.26%

Drenthe 91,928,921.22 3.33% 556 27.47 79.15%

Overijssel 221,365,846.59 8.01% 1,249 27.40 77.70%

Gelderland 350,273,819.77 12.67% 1,941 27.30 76.40%

Noord-Holland 368,136,577.15 13.32% 1,908 27.59 67.70%

Zuid-Holland 560,201,710.74 20.27% 3,201 26.77 73.75%

Zeeland 80,866,543.03 2.93% 519 26.77 80.05%

Brabant 407,307,986.05 14.74% 2,203 26.80 74.29%

Utrecht 231,017,718.30 8.36% 1,156 27.00 69.16%

Limburg 169,336,275.71 6.13% 1,020 27.10 79.22%

Flevoland 55,397,074.11 2.00% 327 27.30 77.05%

Unknown

Total 2,763,884,560.51 100.00% 15,547 27.11 74.44%

AEGON Bank N.V.


14. Geographical Distribution (by Province)


Coupon

4.87% 3.23%

4.57% 3.23%

3.58% 3.27%

8.03% 3.28%

12.48% 3.32%

12.27% 3.44%

20.59% 3.49%

3.34% 3.54%

14.17% 3.32%

7.44% 3.46%

6.56% 3.29%

2.10% 3.29%

100.00% 3.37%

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Maturity (year)

Weighted Average

CLTIMV

Owner Occupied 2,763,884,560.51 100.00% 15,547 27.11 74.44%

Buy-to-let

Unknown

Total 2,763,884,560.51 100.00% 15,547 27.11 74.44%

AEGON Bank N.V.


15. Occupancy

100.00% 3.37%


Coupon

100.00% 3.37%

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Maturity (year)

Weighted Average

CLTIMV

Monthly 2,763,884,560.51 100.00% 29,465 27.11 74.44%

Quarterly

Semi-annually

Annually

Total 2,763,884,560.51 100.00% 29,465 27.11 74.44%

AEGON Bank N.V.


16. Loanpart Payment Frequency


Coupon

100.00% 3.37%

100.00% 3.37%

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Maturity (year)

Weighted Average

CLTIMV

NHG Loans 1,861,313,529.98 67.34% 11,322 27.39 79.35%

Non-NHG Loans 902,571,030.53 32.66% 4,225 26.54 64.32%

Total 2,763,884,560.51 100.00% 15,547 27.11 74.44%

AEGON Bank N.V.


17. Guarantee Type (NHG / Non NHG)

100.00% 3.37%


Coupon

72.82% 3.42%

27.18% 3.28%

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AEGON Bank N.V.


Glossary

Term Definition / Calculation

Adjusted Current Balance The "Adjusted Current Balance" of a Mortgage Receivable is the lower of: (i) the Current Balance of such Mortgage Receivable minus a

(alfa); and (ii) the LTV Cut-Off Percentage of the Indexed Valuation relating to such Mortgage Receivable, minus ß (bèta);

Asset Percentage 93% or such other percentage figure as is determined from time to time in accordance with Clause 3.2 of the Asset Monitoring Agreement;

Assumed Mortgage Interest Rate The expected mortgage interest rate to be offered by each of the Servicers (acting on behalf of the CBC) in relation to Mortgage Loans

which have an interest rate reset, which interest rate will be notified by the relevant Servicer to the CBC and the Rating Agencies from time

A Min (a, b), where (a) is the sum of the Adjusted Current Balances and (b) is the sum of the Asset Percentage of Current Balance -/- a (alfa)

of all Mortgage Receivables;

a (alfa) Gross set-off as determined according to Asset Monitoring Agreement;

ACT Asset Cover Test;

Calculation Date The date falling two (2) Business Days before each CBC Payment Date. The "relevant" Calculation Date in respect of any Calculation Period

will be the first Calculation Date falling after the end of that period and the "relevant" Calculation Date in respect of any CBC Payment Date

CBC Account Bank N.V. Bank Nederlandse Gemeenten in its capacity as CBC Account Bank under the CBC Account Agreement or its successor;

Closing Date 30 October 2015;

B The cash standing to the credit of the CBC Transaction Account(s);

Base Prospectus The base prospectus dated 30 October 2015 relating to the issue of the conditional pass-through covered bonds, including any supplement;

C Substitution Assets plus accrued interest thereon;

Current Balance In relation to an Eligible Receivable at any date, the Net Outstanding Principal Amount, excluding Accrued Interest and Arrears of Interest;

Current Loan to Indexed Market Value (CLTIMV) Current Balance divided by the Indexed Valuation;

Current Loan to Original Market Value (CLTOMV) Current Balance divided by the Original Market Value;

Collateral Market Value means the market value of the relevant Transferred Collateral on any date;

Construction Deposit In relation to a Mortgage Loan, that part of the Mortgage Loan which the relevant Borrower requested to be disbursed into a blocked account

held in his name with the relevant Originator, the proceeds of which can only be applied towards construction of, or improvements to, the

Credit Rating An assessment of the credit worthiness of the notes or counterparties, assigned by the Rating Agencies;

Interest Rate Fixed Period Period for which the current interest rate on the Mortgage Receivable remains unchanged;

Interest Rate Swap An interest rate swap transaction that forms part of an Interest Swap Agreement.

Interest Reserve Required Amount means on the date with respect to which the Asset Cover Test is calculated (i.e. the end of each calendar month), the higher of zero and (i)

U plus V minus W on such date; or (ii) such lower amount as long as this will not adversely affect the rating of any Series;

Eligible Collateral Euro denominated cash and/or Substitution Assets;

Index The index of increases or decreases, as the case may be, of house prices issued by the Dutch land registry (kadaster) in relation to

residential properties in the Netherlands;

Indexed Valuation (with respect to ACT calculation) In relation to any Mortgaged Asset at any date: (a) where the Original Market Value of that Mortgaged Asset is equal to or greater than the

Price Indexed Valuation as at that date, the Price Indexed Valuation; or (b) where the Original Market Value of that Mortgaged Asset is less

Loan Part(s) One or more of the loan parts (leningdelen) of which a Mortgage Loan consists;

LTV Cut-Off indexed valuation % 80 % for all Mortgage Receivables or such other percentage as may be notified to the Rating Agencies from time to time in respect of the

relevant Mortgage Receivables, or such lower percentage as is (a) required from time to time for Covered Bonds to qualify as covered

Maturity Date In respect of a Series of Covered Bonds, the date on which the Covered Bonds of such Series are expected to be redeemed at their

Principal Amount Outstanding in accordance with the Conditions, as specified in the relevant Final Terms, which date falls no more than 15

IRS Interest Rate Swap;

Issuer Aegon Bank N.V., a public company with limited liability (naamloze vennootschap) organised under the laws of the Netherlands and

established in The Hague, the Netherlands;

L For each Mortgage Receivable its Current Balance minus the LTV Cut-Off Percentage of its Indexed Valuation provided that if the result is

negative, L shall be zero and if the result exceeds a (alpha), L shall equal a (alpha);

Nominal OC The Net Outstanding Principal Amount of all Mortgage Receivables, excluding any Defaulted Receivables, plus (b) the Collateral Market

Value of all Transferred Collateral in the form of Substitution Assets plus (c) the cash standing to the credit of the CBC Transaction

Non NHG Loan A Mortgage Loan that does not have the benefit of an NHG Guarantee;

Occupancy The way the Mortgaged Asset is used (e.g. owner occupied);

Net Outstanding Principal Amount In relation to a Mortgage Receivable, at any date, the Outstanding Principal Amount of the relevant Mortgage Loan less (A) if it is a Savings

Mortgage Loan or a Savings Investment Mortgage Loan subject to an Insurance Savings Participation, an amount equal to the Insurance

NHG Nationale Hypotheek Garantie: guarantees (""borgtochten"") issued by Stichting Waarborgfonds Eigen Woningen under the terms and

conditions of the Nationale Hypotheek Garantie, as amended from time to time;

NHG Loan A Mortgage Loan that has the benefit of an NHG guarantee;

Performing Loans Mortgage Loans which are current and therefore do not show any arrears;

Price Indexed Valuation In relation to any property at any date means the Original Market Value of that property increased or decreased as appropriate by the

increase or decrease in the Index since the date of the Original Market Value;

Original Market Value In relation to any Mortgaged Asset the market value (marktwaarde) given to that Mortgaged Asset by the most recent valuation addressed to

the Transferor that transferred the relevant Mortgage Receivable to the CBC or, as applicable, the foreclosure value (executiewaarde) given

Originator Aegon Bank N.V., Aegon Levensverzekering N.V. or Aegon Hypotheken B.V.;

Outstanding Principal Amount In respect of a Relevant Mortgage Receivable, on any date the (then remaining) aggregate principal sum ("hoofdsom") due by the relevant

Borrower under the relevant Mortgage Loan, including any Further Advance Receivable transferred to the CBC and, after foreclosure of the

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AEGON Bank N.V.


Rating Agencies Fitch Ratings Ltd. and Standard & Poors Credit Market Services Europe Limited;

Series A Tranche of Covered Bonds together with any further Tranche or Tranches of Covered Bonds expressed to be consolidated and form a

single series with the Covered Bonds of the original Tranche and the terms of which are identical (save for the Issue Date and/or the Interest

Set-Off Claim that corresponds to a debt to the same borrower, which is not covered by the DGS;

Substitution Assets means the classes of assets denominated in euro from time to time eligible under the CRR and/or the Wft to collateralise covered bonds

including (on the date of this Base Prospectus) and subject to certain limitations:(a) exposures to or guaranteed by central governments,

Remaining Tenor The time in years from the end of the reporting period to the maturity date of a Mortgage Loan;

Reserve Fund Means the balance of the Reserve Account which is the bank account of the CBC designated as such in the CBC Account Agreement;

Seasoning Number of years since the origination of the Mortgage Loan Parts to the end of the Reporting Period;

W Estimated Portfolio Interest Income;

Z An amount equal to the Interest Reserve Required Amount;

Transferred Collateral means any Eligible Collateral transferred or purported to be transferred to the CBC pursuant to the Guarantee Support Agreement, to the

extent not redeemed, retransferred, sold or otherwise disposed of by the CBC;

U The sum of the aggregate amount of interest payable in respect of all Series of Covered Bonds from the relevant date up to and including

the relevant Maturity Date minus any amount of interest to be received under a Portfolio Swap Agreement in connection with a Series of

V The product of: (i) the higher of (a) zero; and (b) the difference between (i) the Portfolio Weighted Average Life and (ii) the Series Weighted

Average Life, (ii) the aggregate Principal Amount Outstanding of all Series on the last day of the previous calendar month multiplied by (1

of 28

ACCOUNT BANK N.V. Bank Nederlandse Gemeenten

Koninginnegracht 2

2514 AA The Hague

The Netherlands

AUDITOR PricewaterhouseCoopers Accountants N.V.

Thomas R. Malthusstraat 5

1066 JR Amsterdam

The Netherlands

CASH MANAGER AEGON Bank N.V.

AegonPlein 50

2591 TV The Hague

The Netherlands

COMMON SAFE KEEPER Clearstream

42 Avenue J.F. Kennedy

L-1855

Luxembourg

CUSTODIAN Coöperatieve Centrale Raiffeissen-Boerenleen Bank B.A.

Croeselaan 18

3521 CB Utrecht

The Netherlands

LEAD MANAGER The Royal Bank of Scotland plc

135 Bishopsgate

EC2M 3UR London

The United Kingdom

LISTING AGENT Coöperatieve Centrale Raiffeissen-Boerenleen Bank B.A.

Croeselaan 18

3521 CB Utrecht

The Netherlands

SECURITY TRUSTEE Stichting Security Trustee Aegon Conditional Pass-

Through Covered Bond Company

Hoogoorddreef 15

1101 BA Amsterdam

The Netherlands

SELLER COLLECTION ACCOUNT

BANK

ABN AMRO Bank N.V.

Gustav Mahlerlaan 10

1082 PP Amsterdam

The Netherlands

SPONSOR (if applicable) AEGON Bank N.V.

AegonPlein 50

2591 TV The Hague

The Netherlands

TRUSTEE Intertrust Management B.V. (sole director of the CBC)

The Netherlands

AEGON Bank N.V.


Contact Information

ADMINISTRATOR AEGON Bank N.V.

AegonPlein 50

2591 TV The Hague

The Netherlands

BACK-UP CASH MANAGER Intertrust Administrative Services B.V.

Prins Bernhardplein 200

1097 JB Amsterdam

The Netherlands

CBC ACCOUNT BANK N.V. Bank Nederlandse Gemeenten

Koninginnegracht 2

2514 AA The Hague

The Netherlands

COVER POOL MONITOR PricewaterhouseCoopers Accountants N.V.

Thomas R. Malthusstraat 5

1066 JR Amsterdam

The Netherlands

ISSUER AEGON Bank N.V.

AegonPlein 50

2591 TV The Hague

The Netherlands

LEGAL ADVISOR NautaDutilh N.V.

Strawinskylaan 1999

1077 XV Amsterdam

The Netherlands

PAYING AGENT Citibank N.A., London Branch

Citigroup Centre, Canada Square

E14 5LB London

The United Kingdom

SELLER AEGON Bank N.V.

AegonPlein 50

2591 TV The Hague

The Netherlands

SERVICER Aegon Bank N.V, Aegon Hypotheken B.V. and Aegon

Levensverzekering N.V.

Aegonplein 50

2591 TV The Hague

The Netherlands

TAX ADVISOR NautaDutilh N.V.

Strawinskylaan 1999

1077 XV Amsterdam

The Netherlands

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november investor report - aegon covered bond program · asset cover test 4 counterparty credit...

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