content_image/145541.jpg content_image/145542.jpg content_image/145543.jpg content_image/145548.jpg
The unrealized loss on RMBS is EUR 457 million which relates to positions of AEGON USA. The pace of deterioration continued in early 2009, but began to stabilize in late 2009 and continued to stabilize in 2010. Even with the stabilization, fundamentals in RMBS securities continue to be weak which impacts the magnitude of the unrealized loss. Delinquencies and severities in property liquidations remain at an elevated level. 

Prepayments remain at historically low levels. Due to the weak fundamental situation, reduced liquidity, and the requirement for higher yields due to market uncertainty, credit spreads remain elevated across the asset class. In addition, a high percentage of the RMBS portfolio is comprised of floating rate securities, which has resulted in higher unrealized losses relative to fixed rate securities but not necessarily in higher default losses. 

<img src='content_image/145541.jpg'>

<img src='content_image/145542.jpg'>

1 SSNR – super senior 2 

SNR – senior 3 

MEZZ – mezzanine 4 

SSUP – senior support 

<img src='content_image/145543.jpg'>

<img src='content_image/145548.jpg'>

