Helping people achieve a lifetime of financial security
SAECURE 16
Investor Presentation
October 2018
This presentation was prepared by Aegon Hypotheken B.V. ("Aegon" or the "Company") and may contain marketing materials. In connection with the proposed transaction the Company has retained Coöperatieve Rabobank U.A.”, ING Bank N.V., Merrill Lynch International, Société Générale, acting through its corporate and investment banking department, and Wells Fargo Securities International Limited as managers (the "Managers"). Although the information in this presentation has been obtained from sources which the Company believes to be reliable, the Company and the Managers do not represent or warrant its accuracy, completeness or correctness, and such information may be incomplete or condensed. 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.
No action has been taken by the Company or any Manager that would permit an offer of the securities (the "Securities") as referred to in the presentation or the possession or distribution of this presentation or any other offering or publicity material relating to such Securities in any jurisdiction where action for that purpose is required. The release, publication or distribution of this presentation in certain jurisdictions may be restricted by law and therefore persons in such jurisdictions into which they are released, published or distributed, should inform themselves about, and observe, such restrictions.
The Securities are complex financial instruments and are not a suitable or appropriate investment for all investors. The Notes are not intended to be offered, sold or otherwise made available to and should not be offered, sold or otherwise made available to any retail investor in the European Economic Area (EEA). For these purposes, a retail investor means a person who is one (or more) of: (i) a retail client as defined in point (11) of Article 4(1) of Directive 2014/65/EU (as amended, MiFID II); or (ii) a customer within the meaning of Directive 2002/92/EC (as amended, the Insurance Mediation Directive), where that customer would not qualify as a professional client as defined in point (10) of Article 4(1) of MiFID II; or (iii) not a qualified investor as defined in Directive 2003/71/EC (as amended, the Prospectus Directive). Consequently, no key information document required by Regulation (EU) No 1286/2014 (as amended, the PRIIPs Regulation) for offering or selling the Notes or otherwise making them available to retail investors in the EEA has been prepared and therefore offering or selling the Notes or otherwise making them available to any retail investor in the EEA may be unlawful under the PRIIPS Regulation.
In preparing this presentation, the Company has relied upon and assumed, without independent verification, the accuracy and completeness of all information available from various sources. This presentation may be subject to variation to the extent that any assumptions contained herein prove to be incorrect, or in light of future information or developments relating to the transaction or following discussions with relevant transaction parties. No assurance can be or is given that the assumptions on which the information is made will prove correct. Information of this kind must be viewed with caution and should not be treated as giving investment advice.
The information in this presentation reflects currently prevailing conditions and views, which are subject to change. 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 is made will prove correct. Information of this kind must be viewed with caution.
The Company and the Managers assume no obligation to notify or inform the recipient of any developments or changes occurring after the date of this presentation that might render its contents untrue or inaccurate in whole or in part. In addition, no representation or warranty, expressly or implied, is or will be made in relation to, no reliance should be placed on and no responsibility is or will be accepted by the Company, any Manager or its respective affiliates, agents, directors, officers, partners, employees or advisers, as to the accuracy and completeness of the information contained in this presentation and nothing in this presentation shall be deemed to constitute such a representation or warranty or to constitute a recommendation to any person to acquire securities.
The recipient of this information acknowledges that the Company and the Managers do not owe or assume any duty of care or responsibility to the recipient. The recipient of this presentation cannot derive any rights from any estimates, outlooks, highlights, overviews etc. included in this document. The Company and the Managers and their respective affiliates, agents, directors, officers, partners, employees and advisers accept no liability whatsoever for any loss or damage howsoever arising from any use of this presentation or its contents or otherwise arising in connection therewith and any and all such liability is expressly disclaimed.
This presentation contains "forward-looking statements". Such forward-looking statements involve known and unknown risks, uncertainties and other important factors beyond the Company's control that could cause the actual results, performance or achievements of the Company 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. The Company and the Managers accept no obligation to update the forward-looking statements contained herein to reflect actual results, changes in assumptions, or changes in factors affecting these statements.
This presentation is provided for discussion purposes only and does not constitute an offer or invitation for the sale, purchase, exchange or transfer of any securities or a recommendation to enter into transactions hereby contemplated and it does not constitute a prospectus or offering document in whole or in part.
No representation, warranty or undertaking, express or implied, is made as to and no reliance should be placed on, the fairness, accuracy, completeness or correctness of the information or the opinions contained herein. This presentation is not to be relied upon in any manner as legal, tax, regulatory, accounting or any other advice and shall not be used in substitution for the exercise of independent judgment and each person made aware of the information set-forth hereof shall be responsible for conducting its own investigation and analysis of the information contained herein.
Disclaimer
Disclaimer
The information contained herein is confidential and is intended for use only by the intended recipient and does not carry any right of publication or disclosure. This presentation is not intended for U.S investors nor U.S. persons. The presentation 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.
No action has been or will be taken by the Company and the Managers in any country or jurisdiction that would, or is intended to, permit a public offering of securities in any country or jurisdiction where action for that purpose is required. In particular, no Securities have been or will be registered under the U.S. Securities Act of 1933, as amended (the "Securities Act") or with any securities regulatory authority of any state or other jurisdiction of the United States and securities may not be offered, sold or delivered within the United States or to US persons except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act and applicable state securities laws and may only be sold outside of the United States to persons who are not US persons in reliance on Regulation S under the Securities Act and otherwise in compliance with all applicable laws and regulations in each country or jurisdiction in which any such offer, sale or delivery of securities is made. The Company does not intend to register or to conduct a public offering of any securities in the United States or any other jurisdiction. This presentation and its contents may not be viewed by persons within the United States (within the meaning of Regulation S under the Securities Act).
The securities may not be purchased by, or for the account or benefit of, any “U.S. person” as defined in the U.S. Risk Retention Rules (“Risk Retention U.S. Person”). Prospective investors should note that the definition of “U.S. person” in the U.S. Risk Retention Rules is different from the definition of “U.S. person” in Regulation S under the Securities Act. Each purchaser of the securities or a beneficial interest therein acquired in the initial distribution of the securities, by its acquisition of the securities or a beneficial interest therein, will be deemed to have made certain representations and agreements, including that it (1) is not a Risk Retention U.S. Person, (2) it acquiring such or a beneficial interest therein for its own account and not with a view to distribute such security, and (3) is not acquiring such security or a beneficial interest therein as part of a scheme to evade the requirements of the U.S. Risk Retention Rules (including acquiring such security through a non-Risk Retention U.S. Person, rather than a Risk Retention U.S. person, as part of a scheme to evade the 10 per cent. Risk Retention U.S. Person limitation in the exemption provided for in section 20 of the U.S. Risk Retention Rules).
In the European Economic Area (the “EEA”), the securities are only directed at persons who are “Qualified Investors” within the meaning of Article 2(1)(e) of the EU Directive 2003/71/EC, as amended (the “EU Prospectus Directive”). If you have received this presentation in the EEA, by not immediately returning and deleting it you are confirming that you are a Qualified Investor. This presentation must not be acted upon in any member state of the EEA by persons who are not Qualified Investors. Any investment or investment activity to which this presentation relates in the EEA is available to, and will be engaged only with, Qualified Investors.
This presentation and its contents is for distribution in or from the United Kingdom only to persons who are authorised persons within the meaning of the Financial Services and Markets Act 2000 of the United Kingdom or who are investment professionals within the meaning of Article 19 of the Financial Services and Markets Act 2000 (Financial Promotion) Order 2005 (all such persons together being referred to as “relevant persons”). This presentation is directed only at relevant persons and must not be acted on or relied on by persons who are not relevant persons.
The information contained herein may not be reproduced or redistributed (in whole or in part) in any format without the express written approval of the Company and the Managers.
Aegon is supervised by the Dutch Central Bank and the Authority for the Financial Markets in the Netherlands. By attending the presentation to which this document relates, you will be deemed to have represented, warranted and agreed that you have read and will comply with the contents of this notice.
The information in this presentation has not been verified, approved or endorsed, or independently verified by the Managers or by any independent third party. The Managers make no representation or warranty, express or implied, as to the accuracy or completeness of such information. None of the Managers or any of their directors, officers, employees, affiliates or agents will be responsible or liable for the consequences of reliance upon any statement, opinion or information contained herein or any omission therefrom. The Managers therefore disclaim any and all liability relating to this presentation including, without limitation, any express or implied representations or warranties for statements contained in, and omissions from, the information herein. None of the Managers nor any of their respective employees, directors, subsidiaries or affiliates and any of their respective employees, directors, officers, advisers, agents or subcontractors accept any liability or responsibility whatsoever to any person or entity, directly or indirectly, in respect of the information herein and/or any omission, condition or other circumstances within or outside the control of the Managers. The Managers shall not be liable for any direct or consequential damage, loss, cost, charge, expense or other liability which may result from, be caused by or alleged to be caused by or in connection with the use or reliance by you, or others, upon such information. The information contained herein is subject to change without notice, and is qualified in its entirety by the information in the relevant final prospectus.
This does not comprise a prospectus, for the purpose of the EU Prospectus Directive (or any relevant implementing measures in The Netherlands) or otherwise. There has been no independent verification of the contents of this document and it does not constitute or contain investment advice. Information contained in this document prepared for information purposes, is indicative and a summary only and is subject to change, finalisation and amendment without notice, and is qualified and superseded in its entirety by reference to the offering circulars to be issued, once approved, in respect of the transaction (the "Offering Circular"). Investors should not subscribe for any securities referred to herein except on the basis of information contained in the Offering Circular. When available, the Offering Circular will be made public in accordance with the EU Prospectus Directive and/or relevant implementing measures in The Netherlands and investors may obtain a copy on www.aegon.com.
Disclaimer
Disclaimer
Any investment decisions on the securities should not be based on this document and should be based solely on the Offering Circular. In addition, investors should pay particular attention to any sections of the Offering Circular describing any special investor considerations or risk factors. Prospective investors are solely responsible for their own independent appraisal of, and investigations into the products, investments and transactions referred to in this document and should not rely on any information in this document as constituting investment advice. Before entering into any transaction, prospective investors should ensure that they fully understand the potential risks and rewards of that transaction and that they independently determine that the transaction is appropriate for them given their objectives, experience, financial and operational resources, and other relevant circumstances. No consideration has been given to the particular investment objectives, financial situation or particular needs of any recipient.
No person is authorised to give any information or to make any representation not contained in and not consistent with this document or the Offering Circular and, if given or made, such information or representation must not be relied upon as having been authorised by or on behalf of the SAECURE 16 B.V.(the” Issuer”) or Aegon.
Rabobank is the trading name used by Coöperatieve Rabobank U.A. incorporated in the Netherlands. Rabobank is authorised by De Nederlandsche Bank and regulated by the Netherlands Authority for the Financial Markets.
ING Bank N.V. is incorporated in The Netherlands with limited liability. ING’s registered office is at Bijlmerplein 888, 1102 MG, Amsterdam. ING is regulated by De Nederlandsche Bank (Dutch Central Bank) and the Autoriteit FinanciëleMarkten (Financial Markets Authority, for more information see www.afm.nl).
“Bank of America Merrill Lynch” is the marketing name for the global banking and global markets businesses of Bank of America Corporation, including Merrill Lynch International. Merrill Lynch International is authorised by the Prudential Regulation Authority and regulated by the Financial Conduct Authority and the Prudential Regulation Authority.
Société Générale Corporate & Investment Banking (SG CIB) is a marketing name for corporate and investment banking businesses of SG and its subsidiaries worldwide. SG is a French credit institution (bank) that is authorised and supervised by the European Central Bank ("ECB") and the Autorité de Contrôle Prudentiel et de Résolution ("ACPR") (the French Prudential Control and Resolution Authority) and regulated by the Autorité des marchés financiers (the French financial markets regulator) ("AMF"). Société Générale London Branch is authorised by the ECB, the ACPR and the Prudential Regulation Authority ("PRA") and subject to limited regulation by the Financial Conduct Authority ("FCA") and the PRA. Details about the extent of our authorization, supervision and regulation by the above mentioned authorities are available from us on request.
The Société Générale Book Building Allocation Policy setting out the process for developing allocation recommendations is available at: https://cib.societegenerale.com/fileadmin/user_upload/SGCIB/pdf/SGCIB_Bookbuilding_Summary.pdf
Wells Fargo Securities International Limited (“WFSIL”) is incorporated in the United Kingdom with limited liability. WFSIL’s registered office is at One Plantation Place, 30 Fenchurch Street, London EC3M 3BD. WFSIL is authorised and regulated by the Financial Conduct Authority under registration number 186745.
Disclaimer
Disclaimer
5
07Executive summary
Slides 6-7
01
SAECURE 16 – Transaction
overview
Slides 8-15
02
Aegon highlights
Slides 16-19
03
Mortgage loan business &
origination
Slides 20-27
04
05
Slides 35-40
06
Contact information
Slide 41
Content
Content
SAECURE performance
The Dutch economy and
housing market
Slides 28-34
08 Appendix
Slides 42-55
66Executive summary
Executive summary
7Executive summary
Executive summary
Aegon mortgage business in the
Netherlands
• Aegon is one of the top 5 lenders in the Dutch residential mortgage market and has been able to
maintain a strong market position in the competitive Dutch mortgage market over the last years
• Aegon NL is wholly owned by Aegon N.V. and a core member of the Aegon group
• The historical performance of Aegon's total residential mortgage loan portfolio has been in line with
the prime Dutch mortgage market, i.e. the best performing and most resilient across Europe where in
the wake of the crisis the losses did not exceed 11bps for non-NHG and 3bps for NHG Loans in 20142
The SAECURE programme
• 15 SAECURE transactions issued since 2000, SAECURE 1 through 13 called at FORD
• SAECURE portfolios are representative of Aegon’s total portfolio with a stable and strong
performance
• The SAECURE programme had a total outstanding net balance of EUR 2.21 bn at end of June 2018
and the 2 remaining FORD have not occurred yet
SAECURE 16
• The SAECURE 16 transaction includes EUR [•] of [4.1]1 year Mortgage Backed Class A Notes that
will be rated [AAA(sf)] / [AAAsf] by S&P and Fitch
• The transaction benefits from a 15 year Interest Rate Cap with a 2.5% strike price
• The Issuance is collateralised by first and sequentially lower ranking secured, owner occupied, prime
Dutch Residential Mortgage Loans originated by Aegon Hypotheken and Aegon Levensverzekering
and serviced by Aegon Hypotheken
• The portfolio primarily consists of Fixed Rate Mortgage Loans and Mortgage Loan Parts with the
benefit of an NHG Guarantee represent [10.4%] of the portfolio
1Based on CPR of 6% to FORD without defaults and delinquencies and no Further Advances/replacements, assuming the Notes being redeemed at FORD2Calculated over the average portfolio balance
88SAECURE 16 – Transaction overview
SAECURE 16Transaction overview
9
Main features & industry compliance
• The interest rate risk is mitigated by a 15 year Interest Rate Cap provided by Rabobank
• Credit enhancement of [8.0%] for the Class A Notes is provided by:
1. Subordination of Class B Notes of [7.0]%
2. Reserve Account of [1.0]% at closing,
3. Excess margin
• Based on the information publicly available at the date of the announcement of this
transaction, this transaction intends to comply with the framework for simple, transparent
and standardised (STS) securitisations and to fulfil additional requirements, if any, on or
prior to such notification date
• The Class A Notes may price above par
• The Class A Notes are intended to be held in a manner which will allow Eurosystem eligibility
• Application has been made to obtain the PCS Label to the Class A Notes on or around the Closing Date
• Transaction is compliant with the RMBS Standard of the Dutch Securitisation Association
• Aegon has undertaken to retain a net economic interest of not less than 5% (in accordance with each of
article 405 CRR, article 51 AIFMR and article 254 Solvency II Regulation), as well as to make available
all materially relevant data to comply with articles 405 up to and including 409 CRR, articles 51, 52 and
53 AIFMR and articles 254 and 256 Solvency II Regulation
SAECURE 16 – Transaction overview
Transaction highlights
Note class Size (%) Status CE1 Coupon up to and
including FORD2 Coupon after FORD Excess Consideration WAL3 FORD Final Maturity S&P/ Fitch
A [93.0%] Offered [8.0%] 3mE + [40] bp Min(3mE,5%) + [40] bp Max(3mE-5%,0) + [40] bp [4.06] [October 2023] [October 2091] [AAA(sf)/AAAsf]
B [7.0%] Retained [1.0%] [0.0%] [0.0%] N/A [4.96] [October 2023] [October 2091] NR
Total [100%]
C [1.0%] Retained [0.0%] [0.0%] [0.0%] N/A N/A N/A [October 2091] NR
Capital Structure
1. Credit enhancement includes Reserve Account of [1%] as a percentage of the Class A and B Notes and excludes excess margin
2. After the FORD, a step-up equal to the margin (the Class A Step-up Consideration) will be payable and will, together with the portion of the 3mE rate exceeding [5]% (ie the EURIBOR Excess Consideration), be subordinated to
certain payments
3. Based on CPR of 6% to FORD without defaults and delinquencies and no Further Advances/replacements, assuming the Notes being redeemed at FORD
10SAECURE 16 – Transaction overview
Portfolio characteristics1 (I)
Source: Provisional portfolio as per 31 August 20181The actual portfolio of Mortgage Loans sold on the Closing Date will be selected from the Provisional Pool
0.02% 0.51% 1.46%3.43%
7.06%9.72%
13.45%
16.83%19.37%
28.17%
0%
10%
20%
30%
Current loan to indexed market value
Principal balance € 988,617,922.31
Value of savings deposits € 41,099,630.28
Net principal balance € 947,518,292.03
Number of mortgages 3,913
Number of mortgage loan parts 8,817
Average principal balance (per borrower) € 242,146
Weighted average current interest rate (%) 3.33
Weighted average maturity (in years) 29.39
Weighted average remaining fixed rate period (in years) 17.23
Weighted average seasoning (in years) 3.22
Weighted average CLTOMV 80.64
Weighted average CLTIMV 75.18
Weighted average Debt Service to Income 16.49%
Weighted average LTI 3.69
Key characteristics
1.14%
9.39%
26.75%
38.55%
20.40%
3.43%0.34%
0%
10%
20%
30%
40%
50%Debt servicing to income
11
98.3%
1.7%
Fixed
Floating
Redemption type
SAECURE 16 – Transaction overview
Portfolio characteristics1 (II)
Source: Provisional portfolio as per 31 August 20181The actual portfolio of Mortgage Loans sold on the Closing Date will be selected from the Provisional Pool
Geographical distribution
Interest
payment type
41.9%
38.6%
7.8%
4.1%3.7%
2.8% 1.3%
Interest only
Annuity
Bank savings
Savings
Life insurance
Linear
Investments
Drenthe 2.4%
Flevoland 1.7%
Friesland 2.7%
Gelderland 12.0%
Groningen 2.6%
Limburg 4.6%
Noord-Brabant 16.2%
Noord-Holland 16.0%
Overijssel 6.5%
Utrecht 12.2%
Zeeland 2.2%
Zuid-Holland 21.0%
12SAECURE 16 – Transaction overview
Risk mitigating features
Credit enhancement
Subordination is provided by the Class B
Notes [7,0%]
The Reserve Account
• The Reserve Account will be funded
at closing at [1.0]% of the Class A & B
Notes and has a Target Level of
[2.0]% of the balance of the Class A &
B Notes at closing
• The Reserve Account will not
amortize as long as the Class A Notes
are outstanding
Excess margin
Pre-FORD:
• The excess margin equals the
difference between the interest
received on the mortgage portfolio
and the interest paid on the Notes,
subject to payout from the Interest
Rate Cap Provider if and when
applicable
Post-FORD
• Any excess margin will be diverted in
the form of Class A Additional
Redemption Amounts to the Available
Principal Funds for the accelerated
redemption of the Class A Notes
Cash Advance Facility
• Cash Advance Facility is [1.0%] of the
Principal Amount Outstanding of the
Class A Notes with a floor of [0.75%]
of the Class A Notes at closing
• The Cash Advance Facility may only
be used to pay senior expenses and
interest due on the Class A Notes (up
to the EURIBOR Agreed Rate plus
[40bps] post FORD)
• Cash Advance Facility is provided by
Rabobank (A+/Aa3/AA-) (S/M/F)
Commingling Risk
• All Borrowers pay into the seller
collection account (held at ABN
AMRO Bank N.V (A/A1/A+) (S/M/F)
by means of direct debit on the first
day of each month
• On each mortgage collection payment
date the 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
Event and expiry of any applicable
grace period, the Seller undertakes to
immediately notify the Borrowers and
any other relevant party, of the
assignment of Mortgage Loans and
the beneficiary rights relating thereto
after which 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 insurance, bank and savings
Mortgage Loans in determining the
credit enhancement levels
• Structural features mitigate set-off risk
on life insurance, bank and savings
Mortgage Loans by means of,
amongst other things, the participation
agreements
13
Indicative issue price sensitivity¹
SAECURE 16 – Transaction overview
Indicative amortisation profile and issue price
sensitivity
Source: Aegon analysis, provisional pool as per 31 August 2018
¹A constant discount rate has been used as of 18 October 2018 (of [-0.318]%). At the pricing date, the constant discount rate of that date
will be used, which could lead to slight differences. For reference purposes only.
Indicative amortisation profile of Class A and B notes (6% CPR)Assumptions
• Closing in [November] 2018
• Call at the FORD
• No defaults / delinquencies
• CPR of 6%
• Class A Additional Redemption Amounts are not taken into account
• No repurchases and Further Advances
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Class A Notes Class B Notes
Discount Margin (bps) 0% CPR 3% CPR 6% CPR 10% CPR 15% CPR
20 [100.97] [100.90] [100.83] [100.74] [100.65]
25 [100.73] [100.67] [100.62] [100.56] [100.48]
30 [100.48] [100.45] [100.41] [100.37] [100.32]
35 [100.24] [100.22] [100.21] [100.18] [100.16]
40 [100.00] [100.00] [100.00] [100.00] [100.00]
WAL table of Class A Notes
CPR 0% 3% 6% 10% 15%
Class A [4.76]yr [4.40] yr [4.06]yr [3.64]yr [3.18]yr
14
Mitigating call risk
• As of [October 2024] (1 year Post-FORD), the Issuer will have the option to sell the loan portfolio if the sale would generate sufficient proceeds to redeem the Class A Notes only
• With an indicative credit enhancement of around [13.3]%1 on the Notes Payment Date falling in [October 2024], this effectively allows for a discount on the sale of the mortgage portfolio to
redeem the Class A Notes
• After the FORD, Available Revenue Funds remaining after making good any amounts under the Class A Excess Consideration Deficiency Ledger will be added to the Available Principal
Funds for the accelerated redemption of the Class A Notes, serving as a mitigant to call risk
• The Class A Excess Consideration payment ranks ahead of the Class B Notes. This may lead to losses for Aegon (as the Class B Noteholder) in high interest rate scenarios
SAECURE 16 – Transaction overview
Interest hedging arrangements
1Subject to an estimated CPR of 6% to FORD without defaults and delinquencies and no Further Advances/replacements
15 year interest rate cap
• The Issuer will enter into an Interest Rate Cap Agreement with Rabobank for 15 years with a strike price at 2.5%
• The Interest Rate Cap Agreement is in line with the structured finance criteria of S&P and Fitch
• Under such Interest Rate Cap Agreement the Issuer pays an upfront premium to the Interest Rate Cap Provider on the Closing Date
• Predetermined notional schedule based on the outstanding notional of the Class A Notes, with a CPR of 3% per annum
Post-FORD interest rate risk
• The Interest Rate Cap will remain in place for another [10] years after the FORD
• Post-FORD, the Class A Notes will be paying a senior floating coupon based on the 3m EURIBOR, up to a maximum of 5% (the EURIBOR Agreed Rate) plus the margin
• Post-FORD, the Class A Step-up Consideration equal to the margin will be payable on the Class A Notes. The Class Excess Consideration being equal to the Class A Step-up Consideration
plus the EURIBOR Excess Consideration (portion of the 3m EURIBOR above the EURIBOR Agreed Rate of 5%), will be payable on the Class A Notes and will be subordinated in the Pre-
Enforcement Revenue Priority of Payments and in the Post-Enforcement Priority of Payments
• The EURIBOR Agreed Rate of 5% is close to the historical high of 2008
15SAECURE 16 – Transaction overview
Indicative Class A revenue breakdown
Underlying assumptions*
• Three interest rate scenarios: 3m EURIBOR rates flat at [-0.3%], [5%], and [8%]
• The CPR is assumed to be [6.0%] throughout the life of the transaction
• The expected losses are set at [5 bps]
• Asset repricing at reset dates of the Mortgage Loans is set at [3m EURIBOR + 250 bps]
EUR mn EUR mn EUR mn % of total% of total% of total
Excess consideration paid (LHS)
Senior interest paid (LHS)
Cumulative total interest paid /
Cumulative total interest due (RHS)
3m EIB [-0.3%] 3m EIB [5%] 3m EIB [8%]
*Scenario’s in case the call at FORD is not exercised
0%
20%
40%
60%
80%
100%
120%
-
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
1 11 21 31 41 51 61 71Quarters from close
0%
20%
40%
60%
80%
100%
120%
-
2.0
4.0
6.0
8.0
10.0
12.0
14.0
1 11 21 31 41 51 61 71Quarters from close
0%
20%
40%
60%
80%
100%
120%
-
2.0
4.0
6.0
8.0
10.0
12.0
14.0
16.0
18.0
20.0
1 11 21 31 41 51 61 71Quarters from close
1616Aegon highlights
Aegon highlights
17Aegon highlights
7%
52%
38%
3%
Americas
AAM
Asia
What we doLife insurance, pensions &
asset management for approximately
29 million customers
(2H17)
HistoryOur roots date back to the first
half of the 19thcentury
Employees
Over 25,000 employees
(1H18)
EarningsUnderlying earnings before tax
EUR 1,064 million(1H18)
InvestmentsRevenue-generating investments
EUR 825 billion
(1H18)
DepositsNet deposits
EUR 3.9 billion
(1H18)
Europe
Aegon N.V. at a glance
Source: Aegon
18Aegon highlights
• Strong capital generation of EUR 1.4 billion in 1H 2018, driven by
increase in own funds
• Improved capital quality: Unrestricted Tier 1 capital as a percentage of
SCR increased by 16%-pts to 150% in 1H18
• Main units solvency ratios remain well within or above target zones
Target
zone
150%
200%
4Q 2016 4Q 2017 1H 2018
157% 201% 215%
US
490%RBC
NL
190%SII
UK
197%SII
Local solvency ratio by unit
Significant improvement in Solvency II ratio
Group Solvency II improvement
19
Aegon Netherlands N.V. (“Aegon NL”)
Aegon highlights
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 1H 2018
Life 238
Non-life 24
Banking 49
Service business 8
Underlying earnings before tax 318
Aegon
Europe Holding B.V.
Simplified Aegon NL Structure
Underlying earnings before tax
Since April 2011, all newly originated mortgage loans are
fully underwritten by Aegon Hypotheken, a 100%
subsidiary of Aegon NL, and are subject to the same
underwriting criteria
In 1H 2018, Aegon NL represented 28% of Aegon’s total
underlying earnings before tax
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
Source: Aegon
2020Mortgage loan business & origination
Mortgage loan business & origination
21Mortgage loan business & origination
Aegon NL mortgage lending organization
Aegon Hypotheken is a 100%
subsidiary of Aegon NL
Origination is done through
intermediaries, while all
underwriting decisions are made
by Aegon NL’s underwriting team
in Leeuwarden
All mortgage related processes
are periodically reviewed and are
regularly audited (including SOX
compliance)
In 2017 Aegon NL Hypotheken
published the ISAE 3402 Type II
Report1
A trusted party
1International assurance standard on the controls at a service organization
22
16.4%
3.0%
3.9%
4.2%
5.0%
7.3%
8.2%
12.8%
18.9%
20.3%
0% 5% 10% 15% 20% 25%
Aegon in the Dutch mortgage market
Other
Mortgage loan business & origination
4th mortgage lender with 8.2% market share
Source: Land Registry (Kadaster) (1H 2018)
23
Aegon in the Dutch mortgage market
Mortgage loan business & origination
7.9% 6.0% 4.8% 5.1%
71.8%67.2%
63.9%51.6%
7.6%14.3% 20.4%
31.6%
12.7% 12.5% 10.9% 11.8%
2015 2016 2017 1H2018
10yr 20yr 30yr Other
47.1% 43.8% 41.4%33.9%
33.0% 38.9% 38.4%40.1%
3.0%4.1% 8.1%
11.2%
16.9% 13.2% 12.1% 14.8%
2015 2016 2017 1H2018
10yr 20yr 30yr Other
Relatively longer term fixed interest rates
Source: Hypotheken Data Nederland (HDN) / Aegon (1H 2018); Newly originated loans per year.
Aegon mortgage production Dutch mortgage production
24Mortgage loan business & origination
Diversified funding
Life
Nominal mortgage amounts per 1H 2018(in EUR X bn)
Characteristics(
Large part interest only mortgages
Supports investment incomeNon-life
Full risk transfer
Attractive mortgage fund solutions (DMF I and
DMF II) and tailored whole loan solutionsService business
Mostly short interest rate reset periods
Offering products to clients on both sides of the
balance sheet
Bank
Originate to share
Long-dated assets
Good match against liabilities
Funding diversification
15 deals issued since 2000, with
SAECURE 14 and 15 still outstanding
RMBS –
SAECURE programme
Covered Bond
Registered Conditional Pass-Through Covered Bond
programme with DNB since 2015
Covered Bonds are rated AAA/AAA (S&P/Fitch), dual
recourse. Total value issued amounts to EUR 2.25bn
17
16
6
3*
2
<1
Origination vehicle
Aegon Hypotheken &
Aegon Levensverzekering
Source: Aegon*Cover Pool is more than EUR 2.5 bn
25
0%
10%
20%
30%
40%
50%
0
5
10
15
20
25
30
35
40
45
50
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 1H2018
NHG Mortgage Loans (LHS) Non NHG Mortgage Loans (LHS)
SAECURE program (RHS) Covered Bond program (RHS)
Fee business (RHS)*
% of total bookEUR bn
Mortgage loan business & origination
Increasing portfolio requires diversified funding sources
Diversified funding
Source: Aegon (2006 – 1H 2018)*Fee business constitutes no funding implications for Aegon (only servicing and no refinancing risk)
26
Key mortgage loan products
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 1H 2018
Interest Only
Life Insurance
Savings
Investment
Linear
Annuity
Other
Mortgage loan business & origination
Since 2013 only amortizing mortgage loans are eligible for tax deductibility1
Source: Aegon (2006 – 1H 2018) – Newly originated mortgage loans per year1Grandfathering on existing loans
27Mortgage loan business & origination
Underwriting criteria & credit process
Aegon’s underwriting team consists
of 95 FTE
25% of the team has more than 10
years experience. All underwriters
are WFT1 certified
Approximately 75% of all applications
were approved in 2017 (of which ~5%
after deferral to a loan committee)
• Only owner occupied residential properties with first lien
• Mandatory valuation of the property in most cases (see prospectus for full details)
• Mandatory damage and fire insurance
• Additional forms of collateral possible: life insurance, bank savings and equity portfolios
Collateral
• Underwriting criteria based on the Code of Conduct (LTVs, DTIs etc)
• The approval to lend outside the automatically accepted lending criteria may be granted on a loan-by-loan
basis subject to senior underwriter approval
Loan
• All borrowers must meet Aegon underwriting criteria (also for Further Advances)
• The Dutch legislation (Wft) contains strict criteria with regard to loan to income. Aegon origination policy is
in compliance with the Wft, whereby the largest part of the mortgage requests is in accordance with the
standard criteria.
• Credit searches with BKR (National Credit Register) and fraud prevention searches in BKR VIS/EVA2 and
SFH3
Borrower
1 ‘Wet op Financieel Toezicht’ is a Dutch law that serves to protect consumers and obliges financial service providers to meet criteria with regard to professional competence,
financial security and clear and fitting advice.2 VIS (Verificatie Informatie Systeem) and EVA (Externe Verwijzing Applicatie) is a fraud prevention system which shows all lost, stolen and invalid identification documents
both domestic and foreign3 SFH (Stichting Fraudebestrijding Hypotheken) is a fraud prevention system which shows all persons and companies involved in mortgage fraud
2828The Dutch economy and housing market
The Dutch economy and housing market
29The Dutch economy and housing market
Dutch economy
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 3.2% (2017)
• Unemployment rate at 3.8% as of July 2018
• Sovereign debt of 56.7% of GDP and budget surplus of 1.1% in 2017
• International trade is key driver of economy and future economic growth
Highlights of the Dutch economySource: Eurostat, CPB
Trade balance (% of GDP)Source: OECD
Unemployment rate comparisonSource: Eurostat
Evolution of Y-o-Y real GDP growth rateSource: Eurostat
0%
2%
4%
6%
8%
10%
12%
14%
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018
Netherlands UK Eurozone US
-6%
-4%
-2%
0%
2%
4%
6%
8%
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Netherlands UK Eurozone US
-10%
-5%
0%
5%
10%
15%
20%
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Netherlands UK US Eurozone
30The Dutch economy and housing market
Dutch economy (cont’d)
Sovereign debt (% of GDP)Source: Bloomberg, IMF
5 Year CDS Sovereign Spread (in USD - bps)Source: Bloomberg
Deficit (% of GDP)Source: Bloomberg
Gross national savings1 (% of GDP)Source: Bloomberg, CIA
(4)
(2)
-
2
4
6
8
10
12
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Netherlands UK Germany France US
-
5
10
15
20
25
30
35
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Netherlands UK Germany France US
0
50
100
150
200
250
300
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018
Netherlands UK Germany France US
-
20
40
60
80
100
120
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Netherlands UK Germany France US
1GNS = GDP – consumption – government spending
31
Key characteristics
Code of
Conduct
• The Code of Conduct encourages 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
NHG
• The NHG programme is the public mortgage loan guarantee scheme supporting home ownership in The Netherlands
• All Dutch citizens can obtain a guarantee from the Dutch State guaranteed non-profit organization (Stichting WEW) subject
to the applicable terms and conditions
Underwriting
• Mortgage loans are provided predominantly on the basis of income (LTV’s are a less significant factor due to tax incentives)
• “Full-doc” underwriting; there is no self certification of income
• Industry wide credit database (BKR) and fraud register (SFH)
Products
• Predominantly prime, owner occupied
• Limited buy-to-let, non-conforming and sub-prime
• Mainly fixed rate mortgage loans
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
…of the Dutch residential mortgage market
The Dutch economy and housing market
1Source: Miljoenennota 2018
Policy
developments1
• Accelerated reduction in maximum tax deductability of mortgage interest payments was announced on September 18, 2018
• As of 2020, the government will cut the maximum tax relief by 300 bps per annum, settling at a deduction rate of 37.05% in 2023.
32The Dutch economy and housing market
Dutch housing prices
60
70
80
90
100
110
120
130
140
150
2010 2011 2012 2013 2014 2015 2016 2017 2018
Euro Area Ireland Spain Netherlands United Kingdom
S&P 2 expects that house prices will increase
less rapidly at 7% annually in 2018, compared
to the increase of around 8.5% last year
(2017). Moreover, the expectation is that this
will further cool down to around 5% in 2019.
Rabobank3 expects an increase in housing
prices of 8.7% in 2018 and a subsequent
increase of around 7% in 2019. However,
Rabobank does expect a drop in the number
of transactions of around 7% in 2018
compared to the year before.
Significant increases over recent years
Source: ECB, S&P/Case-Shiller, Nationwide2S&P Global Ratings ‘Europe’s Housing Markets: Soft Landing in Sight’, February 7, 2018;3Rabobank: Kwartaalbericht woningmarkt, August 15, 2018.
33The Dutch economy and housing market
Dutch housing prices: regional development
-20%
-10%
0%
10%
20%
30%
40%
50%
since pre crisis high (2008-Q3) since crisis low (2013- Q2)
Strong regional differences in price development
Source: CBS (June 30th 2018)
4%7%
11%
10% 12%
9% 9%
7%
7%
6%
8%
7%
Regional house price development (YoY)
Increase > average (8%)
Increase <= average (8 %)
Regional house price development (since pre crisis high & low)
34The Dutch economy and housing market
Dutch household financials
1,112 1,202 1,1701,398 1,488
1,621 1,597
321340 344
332336
342 344
4753 62
7187
89 95
682688 673 675
679687 695
50 48 44 37 36 32 30
0
500
1,000
1,500
2,000
2,500
2011 2012 2013 2014 2015 2016 2017
Life insurance & Pension assets Savings & Deposits Investments Residential Mortgage Debt Consumer Credit
Dutch household wealth including pension assets far exceeds mortgage debt
EUR bn
Source: Dutch Central Bank (DNB), Statistics Netherlands (CBS)
35SAECURE performance
SAECURE performance
36SAECURE performance
Performance of SAECURE transactions
-
2,000
4,000
6,000
8,000
10,000
12,000
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018
SAECURE 1 SAECURE 2 SAECURE 3 SAECURE 4 SAECURE 5
SAECURE 6 NHG SAECURE 7 SAECURE 8 NHG SAECURE 9 SAECURE 10
SAECURE 11 SAECURE 12 SAECURE 13 NHG SAECURE 14 NHG SAECURE 15
EUR (mln)
Decreasing outstanding net balance
Source: SAECURE investor reports (2006 – 1H 2018), unaudited data
37SAECURE performance
Performance of SAECURE transactions
-
1.00
2.00
3.00
4.00
5.00
-
2,000
4,000
6,000
8,000
10,000
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018*
bps of net balanceEUR (mln) Total net losses (RHS) Outstanding net balance (LHS)
Limited losses and strong recoveries
Recovery Rate on NHG SAECURE transactions
remained stable at 98.4% at the end of 2017
compared with 98.6% at the end of 2016
Recovery Rate on regular SAECURE
transactions remained stable at 95.4% at the
end of 2017 compared with 95.7% at the end of
2016
Source: SAECURE investor reports (2006 – 1H 2018), unaudited data* 2018 shows total net losses and outstanding net balance at end of June 2018
38SAECURE performance
Performance of SAECURE transactions
Limited losses for most recent SAECURE transactions
Source: Prospectus & Investor Reports SAECURE transactions; unaudited data 1For currently active SAECURE transactions, this is shown at end of June 20182These figures show post-foreclosure recoveries
Transaction information Asset balance at Closing Date Cumulative gross losses (at FORD)1 Cumulative recoveries (at FORD)12
Transaction Closing Date FORDNumber of
loansEUR (mln)
Number of
foreclosuresEUR (mln)
Cumulative
losses (bps)EUR (mln)
Cumulative
recoveries (bps)
SAECURE 2 Sep-2003 Aug-2010 6,266 1,080 40 1.60 14.80 0.25 2.36
SAECURE 3 Nov-2003 Feb-2011 9,578 1,193 17 0.72 6.07 0.06 0.47
SAECURE 4 Jun-2004 Aug-2011 7,186 1,109 87 4.40 39.70 0.87 7.87
SAECURE 5 Apr-2005 Aug-2012 7,375 1,212 57 4.03 33.25 0.40 3.33
SAECURE 6 NHG Sep-2006 Aug-2013 14,947 2,054 65 1.35 6.49 0.79 3.83
SAECURE 7 Jul-2010 Aug-2015 8,508 1,100 65 2.60 23.61 0.16 1.49
SAECURE 8 NHG Oct-2010 Dec-2014 8,377 1,470 42 0.57 3.18 0.16 1.06
SAECURE 9 Sep-2010 Mar-2016 4,488 908 52 1.89 20.85 0.18 1.97
SAECURE 10 Apr-2011 Feb-2016 8,259 1,631 86 3.74 22.94 0.23 1.39
SAECURE 11 May-2012 Jul-2015 3,715 721 23 0.36 5.04 0.05 0.66
SAECURE 12 Dec-2012 Oct-2017 7,588 1,468 111 1.31 8.91 0.23 1.60
SAECURE 13 NHG Mar-2013 Feb-2018 6,452 1,233 108 0.38 3.07 0.03 0.26
SAECURE 14 NHG Mar-2014 Feb-2019 8,030 1,502 85 0.30 2.02 0.01 0.05
SAECURE 15 Oct-2014 Feb-2020 8,009 1,552 25 0.19 1.20 0.00 0.01
39SAECURE performance
Performance of SAECURE transactions
Low and further decreasing arrears
0
1
2
3
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018
2 <= 3 monthly payments 3 <= 4 monthly payments
4 <= 6 monthly payments > 6 monthly payments
Arrears in the >6 month bucket have declined
since Q1 2016 due to successfully completed
voluntary sales resulting in minimal losses and
arrears being cured
The post crisis SAECURE issuance volumes
(2010-2011) resulted in a steep decline in the
relative volume of arrears
bps of net balance
Source: SAECURE investor reports (2006 – 1H 2018); unaudited data
40
Performance of SAECURE transactions
SAECURE performance
Lifetime CPRs for outstanding SAECURE transactions
Source: SAECURE portfolio and performance reports (2014-1H 2018); unaudited dataPast performance is not necessarily an indicator of future results or performance
0%
2%
4%
6%
8%
10%
Mar-14 Sep-14 Mar-15 Sep-15 Mar-16 Sep-16 Mar-17 Sep-17 Mar-18
CPR SAECURE 15 CPR SAECURE 14CPR (%)
41
WWW.AEGON.COM
For questions and information relating to the
Aegon SAECURE programme please contact:
Bastiaan Warmerdam Christiaan HoitingManager Capital Market Solutions Funding ManagerT: +31 70 344 8361 T: +31 6 5393 7521E: [email protected] E: [email protected]
Jeroen DekkersSenior Strategic AnalystT: +31 6 1191 1447E: [email protected]
For questions relating to Aegon please contact:
Aegon Investor RelationsT: +31 70 344 8305E: [email protected]
4242
Appendix
Appendix
43Appendix
Transaction parties
Key Transaction Parties
Issuer SAECURE 16 B.V.
Shareholder Stichting Holding SAECURE 16
Security Trustee Stichting Security Trustee SAECURE 16
Originators AEGON Hypotheken B.V. and AEGON Levensverzekering N.V.
Seller AEGON Hypotheken B.V.
Servicer AEGON Hypotheken B.V.
Issuer Administrator Intertrust Administrative Services B.V.
Issuer Account Bank Coöperatieve Rabobank U.A. (Rabobank)
Cash Advance Facility Provider Rabobank
Interest Rate Cap Provider Rabobank
Arranger Rabobank
Joint Lead Managers Rabobank; Société Générale; ING Bank N.V.; Wells Fargo Securities; Merrill Lynch International
Paying / Reference agent CitiBank N.A. Amsterdam Branch / London Branch
Listing Agent Rabobank
Rating Agencies Fitch Ratings Ltd. (Fitch) and S&P Global Ratings Europe Ltd. (S&P)
Originator Collection Account Bank ABN AMRO Bank N.V.
Source: preliminary prospectus
44Appendix
Interest Priority of Payments1
1This is a simplified overview. Please refer to the Preliminary Prospectus for a full description of the Priority of Payments and of the Available Principal Funds2To be applied in Principal Waterfall, subject to certain conditions
=
Mortgage Loan Interest
Interest on Issuer Accounts
Cash Advance Facility drawings; if any
Reserve Account drawings, if any
Repurchase or sale proceeds (interest)
Post foreclosure proceeds, if any
Credit insurance proceeds (interest)
Prepayment penalties
Net foreclosure proceeds of mortgage
receivables (relating to interest)
Interest Rate Cap receivables
Additional Available Revenue Funds (principal to pay interest in certain conditions)
Additional Available Revenue Funds (principal to pay interest in certain conditions)
Senior expenses and servicing fee
Cash Advance Facility
Interest on the Class A
Replenishment of Class A PDL
Replenishment of Reserve Account
After FORD: Class A Excess Consideration
After FORD: Class A Additional Redemption Amounts2
Replenishment of Class B PDL
Repayment of Class C Notes (only after redemption of Class A & B)
Gross-up or additional amounts on the Cash Advance Facility
Deferred Purchase Price to Seller
Principal on Subordinated Loan
45Appendix
Principal Priority of Payments1
1This is a simplified overview. Please refer to the Preliminary Prospectus for a full description of the Priority of Payments and of the Available Principal Funds2 To be applied in the Revenue Waterfall3Up to the FORD only and subject to specific criteria identified by the Additional Purchase Conditions including a [1]% cap of the aggregate outstanding balance of
portfolio Mortgage Loans
=
Mortgage Loan principal repayments and prepayments
Credit insurance proceeds (principal)
Participation increase
Partial prepayments
After-FORD: Class A Additional Redemption Amounts
Net foreclosure proceeds of mortgage
receivables (relating to principal)
Repurchase / Sale of Mortgage Loans
Credits to PDL
Switched insurance savings participation (from conversion to
savings)
Available Principal Funds
Available Principal Funds
Class A Revenue Shortfall2
Purchase of Further Advance Receivables3
Principal on Class A Notes until fully redeemed
After Class A repaid: Class A Excess Consideration Revenue Shortfall Amount
Principal on Class B Notes until fully redeemed
46Appendix
Comparison Transactions
Deal Name SAECURE 161 Green Apple 2018-I NHG B.V Arena NHG 2016-I B.V DRMP II B.V. SAECURE 15
Summary deal info
Closing Date • [November 2018] • June 2018 • June 2016 • November 2016 • October 2014
Class A size • [∙] • 1,000,000,000 • 500,000,000 • 600,000,000 • 1,443,000,000
Offering • Reg S Only • Reg S Only • Reg S Only • Reg S Only • Reg S Only
Rating • [AAAsf / AAA (sf)] • AAAsf / Aaa (sf) • AAAsf / Aaa (sf) • AAAsf / Aaa (sf) • AAAsf / AAA (sf)
Issue price • [•]% • 101.10% • 100% • 100.45% • 100%
WAL • [4.1] years2 • 5.0 years • 4.9 years (Class A2) • 4.5 years • 5.3 years (Class A2)
Structural Features
Hedging• Cap strike at [2.5%]
• [15 years]
• Cap strike at 2.75%
• Up to FORD
• Cap strike at 3.5%
• Up to FORD
• Cap strike at 3.5%
• 10 years• Interest Rate Swap
Credit enhancement • [8%] • 12% • 20% • 13.5% • 8%
Excess Consideration• 3mE > [5.0]%
• Step-up margin
• 3mE > [5.0]%
• Step-up margin
• 3mE > [5.0]%
• Step-up margin
• 3mE > [5.0]%
• Step-up margin• Not applicable
Additional Amounts• Accelerated redemption on the
Class A Notes
• Accelerated redemption on the
Class A Notes
• Paid out as additional revenue to
the Class A Noteholders
• Paid out as additional revenue
to the Class A Noteholders• Not applicable
Pool characteristics
WA CLTIMV • [75.18%] • 75.27% • 85.51% • 81.51% • 89.35%
NHG • [10.38%] • 100% • 100% • 57.3% • 30.6%
WA interest rate • [3.33%] • 2.84% • 3.41% • 3.69% • 4.33%
Source: Preliminary prospectus SAECURE 16 and final prospectus other transactions, ConceptABS1Provisional2Based on CPR of 6% to FORD without defaults and delinquencies and no Further Advances/replacements, assuming the Notes being redeemed at FORD
47Appendix
Aegon NL mortgage lending organization
Product
Development &
Pricing
Develop mortgage
products
Determine price
of mortgage
products
Marketing and
Communication
Develop and
maintain
marketing
material
mortgages
Sponsorship,
press releases
and brand
advertising
Master Servicing
Payment to
investors
Reporting to
investors
Administrative
handling of
received loans
Structuring &
Arranging
Expand or adapt
existing funding
agreements
Securitization of
Mortgage Loans
Issuing of
Covered Bonds
Structuring of
whole loan
transactions
Capital &
Liquidity
Management
Determine funding
needs
Determine funding
strategy
Execute funding
strategy
Special
Servicing
Arrears servicing
Residual debt
servicing
Operations
Offer
Underwrite
Administer and
service
Complaint
handling
Payments
Distribution
Distribution / sales
of mortgage
products
Advise on
development of
mortgage
products
48Appendix
Underwriting (95 FTE) Servicing (146 FTE)External
Aegon NL underwriting process
Source: Aegon1Aegon only sells mortgages via brokers, which are carefully selected according to predetermined criteria and monitored regularly
Mortgage broker1
Preparation of proposals
Aegon front office
Review of proposals
Preparation and sending of
proposals
Aegon back office
Receipt of signed deeds
Transfer mortgage loans to back office systems
Transfer insurance policies to back office
systems
Handling of insurance policy changes
Handling of mortgage loan changes
98% pay via direct debit; 2% by bank transfer
Aegon mid office
Receipt of signed proposals
Verification of documents
(customer ID etc.)
Send documents to the
notary
Receive preliminary deeds
& settlements
49Appendix
Service providers(VCN, Financiële
makelaar, LNI)
Franchisers(Hypotheker,CMIS,
Hypotheekvisie)
Country-wide
operating entities(SNS, Vereniging
Eigen Huis, Univé)
Appointment based on:
• Possibility to do business in several branches (i.e. mortgages, life
insurances)
• Growth opportunities of firm
• Smaller offices are serviced via service providers
Monitoring quality:
• All offices are obliged to have a WFT1-certification
• Frequent contact between account management and mortgage brokers
• Monitoring first time right percentages on submitted proposals
• Brokers are paid by their customers, not by Aegon (provisieverbod)
Key notes:
Aegon NL only provides
mortgages via mortgage brokers
The top 25 Aegon NL mortgage
brokers provide 33% of total
production
In total there are approximately
2,500 Aegon NL mortgage
brokers
Mortgage brokers
1 ‘Wet op Financieel Toezicht’ is a Dutch law that serves to protect consumers and obliges financial service providers to meet criteria with regard to professional competence, financial security and clear and fitting advice.
50Appendix
Key mortgage loan products
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
• Borrowers do not make any principal repayments but instead make
payments into a savings account with an insurance company or
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 (part of) the mortgage loan
at maturity
Investment mortgage loans
• Borrowers do not make any principal repayments but select an
investment policy, into which they pay a monthly premium, which is
expected (however not guaranteed) to repay the mortgage loan at
maturity
Savings mortgage
loans
Main mortgage products prior to January
1st 2013
Main mortgage products since January
1st 2013
51
Source: Aegon; “Een betaalbare hypotheek, nu en straks.” ; NIBUD, Affordability percentages, 2018
Loan affordability
Affordability tables provided by NIBUD For borrowers below 65 years of age
• Mortgage lenders closely follow the affordability recommendations
provided by National Institute for Budget Awareness (“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 61,000 and a
mortgage loan with an interest rate of 2.001% to 2.5% can use 23% 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”)
Percentage of gross income that can be used for mortgage loan payments
Mortgage loan rate
Gross Income 1.501%-2% 2.001%-2.5% … 3.001%-3.5% 3.501%-4%
20,500 11.50% 12.00% … 13.00% 13.50%
21,000 11.50% 12.00% … 13.00% 13.50%
21,500 12.50% 13.00% … 14.00% 14.00%
… … … … … …
55,000 20.50% 21.50% … 24.00% 25.00%
58,000 21.00% 22.50% … 24.50% 25.50%
61,000 21.50% 23.00% … 25.00% 26.50%
… … … … … …
75,000 23.00% 24.50% … 27.00% 28.50%
77,000 23.50% 24.50% … 27.50% 28.50%
79,000 23.50% 25.00% … 27.50% 29.00%
… … … … … …
96,000 24.00% 25.50% … 28.50% 30.00%
110,000 24.50% 26.00% … 28.50% 30.00%
Appendix
52
• A prepayment must have a minimum value of EUR 1,000
• Prepayments do not release the customer from its regular interest & principal payment obligations
• Conditions for penalty free prepayment
- Up to 10% annually of the original principal amount of each loan part
- Up to the WOZ valuation (only by own means, no refinancing)
- Mortgages using floating interest rates
- Full prepayment at prolongation or at interest rate reset date is allowed
- Full prepayment is allowed if current mortgage interest rate is equal to or higher than the contract interest rate
- Sale and delivery of the collateral
- Loss of collateral (e.g. due to fire)
- Decease of (one of the) debtor(s), provided that the prepayment is done within three months of the decease
- Prepayment through release of pledged prepayment insurance
- Prepayment of a bridge loan
Prepayment conditions
Appendix
General conditions
53
NHG mortgage loan guarantee
Appendix
• NHG (national mortgage loan guarantee) refers to the public
mortgage loan insurance scheme supporting home ownership in the
Netherlands
• Borrowers that benefit from an NHG guarantee will:
• Receive an interest rate discount varying between 5 - 65bps
depending on LTV
• Receive full or partial compensation for a mortgage loss caused by
a divorce, unemployment, occupational disability, decease or a non
culpable drop in income
• Pay an upfront fee of 100bps over the loan amount
• Mortgage lenders that apply for an NHG guarantee on behalf of their
clients are responsible for ensuring that the guarantee application
meets NHG conditions:
• If the NHG conditions are not satisfied, the mortgage lender may
not be fully covered by the guarantee
• WEW (Stichting Waarborgfonds Eigen Woningen) is the foundation
responsible for granting NHG guarantees (Aaa/AAA rating and stable
outlook in 2016 and 2017)
350
320
290265
245 245 245265
290
0
50
100
150
200
250
300
350
400
2011 2012 2013 2014 2015 2016 2017 2018* 2019**
EUR Thousands
Source: NHG Quarterly Reports* Maximum LTV in 2018 stands at EUR 281k for properties for which energy saving investments are made; **It is proposed by NHG to increase the maximum purchasing price for NHG eligibility to EUR 290,000 in 2019
Maximum purchasing price (NHG)
54
Stage 1: Day 20
Action: Automatic reminder
Appendix
Focus on foreclosure
60 120
Days in Arrears 6 Months
Continued on next page
Days in Arrears 6 Months
Stage 0: Day 1 & Day 15
Action: Automatic payment
(again on day 15
when failed)
Stage 3: Day 45
Action: Formal written demand and
risk based treatment (call,
email etc.) on part of files
Stage 2: Day 30
Action: Telephone collection list
Stage 4: Day 90
Action: Urgent arrears list
BKR registration
(National credit register)
Notify NHG (if
applicable)
Stage 5: Day 150
Action: Entire loan declared immediately due and payable
a) Induce a final attempt for voluntary paymentb) Allow time for drafting of legal documentsc) Begin foreclosure process
Stage 7: Post Sale
Action: Post sale review
Stage 6: Foreclosure Process
Action: Repossession and sale
Aegon’s collection procedure
Source: Aegon
55Appendix
Focus on foreclosure
Stage 5c
Begin foreclosure procedure
Gather recent income data and
perform affordability check
Stage 6
Sale process
Stage 7
Post saleUp to 1 Year1
Borrower
cooperation
decision
Joint voluntary sale
Foreclosure begins Notary appointed Sale type decision
Private sale
Auction
NHG to decide on
any remaining
claims2
Unsuccessful
Successful
Yes
No
NHG decision
Borrower is able to pay
Loan restructuring
Start sales process
Third party guarantor
NHGNon-NHG
Repossession & sale process
1This is the average total time from the first missed payment until the actual foreclosure data2 Lender is responsible for the first 10% loss