126 NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS OF AEGON N.V.  NOTE 4 directly into the reference CDO while taking ownership of a  proportionate share of the Margin.  AEGON manages credit risk exposure by individual  counterparty, sector and asset class, including cash positions.  Normally, AEGON mitigates credit risk in derivative contracts  by entering into collateral agreements, where practical, and in  ISDA master netting agreements for each of AEGON’s legal  entities to facilitate AEGON’s right to offset credit risk exposure.  Main counterparties to these transactions are investment banks  which are typically rated A or higher. The credit support  agreement will normally dictate the threshold over which  collateral needs to be pledged by AEGON or its counterparty.  Transactions requiring AEGON or its counterparty to post  collateral are typically the result of OTC derivative trades,  comprised mostly of interest rate swaps, currency swaps, and  credit swaps. Collateral received is mainly cash (USD and EUR).  The Credit Support Agreements that outline the acceptable  collateral require high quality instruments to be posted. Nearly  all securities received as collateral are US Treasuries or US  Agency bonds. In 2009 and 2010 AEGON did not take  possession of collateral or call on other credit enhancements.  The credit risk associated with financial assets subject to a  master netting agreement is eliminated only to the extent that  financial liabilities due to the same counterparty will be settled  after the assets are realized. The extent to which the exposure to credit risk is reduced  through a master netting agreement may change substantially  within a short period of time because the exposure is affected  by each transaction subject to the arrangement. AEGON may  also mitigate credit risk in reinsurance contracts by including  down-grade clauses that allow the recapture of business,  Under the Credit Name Limit Policy, AEGON’s largest credit  exposures are to JPMorgan, ING, Barclays, Rabobank and Bank  of America. AEGON had large investments in sovereign backed  assets, the largest being in the UK, Germany, The Netherlands,  France and the USA, but AAA rated sovereign assets are  excluded from the policy.  AEGON Group level long-term counterparty exposure limits  at the end of 2010 are as follows: At December 31, 2010, there were two violations of the Credit  Name Limit Policy at the group level, both of which have  received exemption from GRCC. retaining ownership of assets required to support liabilities  ceded or by requiring the reinsurer to hold assets in trust.  For the resulting net credit risk exposure, AEGON employs  deterministic and stochastic credit risk modelling in order  to assess the Group’s credit risk profile, associated earnings  and capital implications due to various credit loss scenarios.  AEGON operates a Credit Name Limit Policy under which limits  are placed on the aggregate exposure that it has to any one  counterparty. Limits are placed on the exposure at both group  level and individual country units. The limits also vary by a  rating system, which is a composite of the main rating agencies  (S&P, Moody’s and Fitch) and AEGON’s internal rating of the  counterparty. If an exposure exceeds the stated limit, then  the exposure must be reduced to the limit for the country unit  and rating category as soon as possible. Exceptions to these  limits can only be made after explicit approval from AEGON’s  Group Risk and Capital Committee (GRCC). The policy is  reviewed regularly. Credit rating  In EUR million Group Limit AAA 900 AA 900 A 600 BBB 400 BB 200 B 125 CCC or lower 50