buf schreef op 26 oktober 2019 15:04:
Fair value items The loss from fair value items amounted to EUR 394 million.
Fair value losses in the Netherlands were EUR 459 million, caused by a EUR 1.4 billion strengthening of insurance provisions as result of a shortfall in the Liability Adequacy Test (LAT) driven by credit spread movements. The LAT assesses the adequacy of IFRS insurance liabilities by comparing them to their fair value. Aegon the Netherlands adjusts the outcome of the LAT for certain unrealized gains in the bond portfolio and the difference between the fair value and the book value of those assets measured at amortized cost, mainly residential mortgages. In the first half of 2019, mortgage spreads widened as consumer prices did not react to the drop in risk-free interest rates. This
decreased the value of Aegon’s mortgage portfolio, while unrealized gains on the value of the bond portfolio reduced due to the sale of bonds to optimize the investment portfolio in the Netherlands. In addition, the reduction in illiquidity premium increased the fair value of IFRS insurance liabilities. The LAT shortfall was partially offset by EUR 484 million fair value gains on hedges and a gain on the guarantee provision of EUR 369 million, both mainly driven by lower interest rates. Furthermore, fair value items included EUR 100 million real estate revaluations.
Fair value gains of EUR 157 million in the Americas were driven by gains on the macro hedge net of reserve movements.
Fair value losses in the United Kingdom amounted to EUR 76 million and were mainly due to negative fair value movements on equity hedges following rising equity markets.