118 NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS OF AEGON N.V.  NOTE 3 investments are of a very diversified nature in terms of type  of investments, investment strategy and sector. There is no  one significant unobservable assumption or combination of  assumptions that could be identified and used to compute a  reasonably possible alternative assumption analysis for this  portfolio.  under a base and several stress-case scenarios. Housing related  ABS, CMBS and RMBS asset specialists utilize modeling software  to perform a loan-by-loan, bottom-up approach to modeling. The  Housing related ABS models incorporate market estimates on  the property market, borrowing characteristics, propensity of a  borrower to default or prepay and the overall security structure.  The CMBS models incorporate market estimates on the property  market, capital markets, property cash flows and loan structure.  The RMBS models incorporate external loan-level analytics to  identify the riskiest securities. Once the entire pool is modelled,  the results are analyzed by internal asset specialists to  determine whether or not a particular tranche or holding is at  risk for not collecting all contractual cash flows taking into  account the seniority and other terms of the tranches held.  AEGON impaired its particular tranche to fair value where it  would not be able to receive all contractual cashflows. There are a number of significant risks and uncertainties inherent  in the process of monitoring investments and determining if  impairment exists. These risks and uncertainties include the risk  that the Group’s assessment of an issuer’s ability to meet all of  its contractual obligations will change based on changes in  the credit characteristics of that issuer and the risk that the  economic outlook will be worse than expected or have more of  an impact on the issuer than anticipated. Any of these situations  could result in a charge against the income statement in a future  period to the extent of the impairment charge recorded.  In addition, at least quarterly, AEGON reviews all housing  related ABS, CMBS and RMBS in relation to both severity and  duration of unrealized losses. Reviews include a realized loss  analysis and analysis where the remaining exposure to the  issuer is in a material unrealized loss position. Housing related  ABS, CMBS and RMBS noted on exception reports are  specifically addressed by research and credit analysts who  evaluate the unrealized losses based upon current market  conditions, changes in credit spreads specific to the asset class,  fundamentals related to the issuer and, if applicable, the  available protection of the monoline wrapper. AEGON impairs  a particular tranche to fair value where it would not be able to  receive all contractual cash flows. The impairment analysis is  therefore based on a combination of models and analyst  reviews of market events on individual securities. As at the reporting date, AEGON performed stress testing on  each security within its subprime mortgage portfolio. The stress  testing revealed a significant reduction in the level of protection  provided by the subordination for all fixed rate and senior  floating rate mortgage products. Factors included in the analysis  depend upon the type of collateral but for subprime mortgages  they include delinquencies, prepayment assumptions, the  percentage of borrowers with mortgage insurance, the  percentage of borrowers in states more at risk for declining  home values (Florida, California, etc.) and credit enhancements.  AEGON regularly monitors industry sectors and individual debt  securities for evidence of impairment. This evidence may  include one or more of the following: 1) deteriorating market to  book ratio, 2) increasing industry risk factors, 3) deteriorating  financial condition of the issuer, 4) covenant violations, 5) high  probability of bankruptcy of the issuer or 6) recognized credit  rating agency downgrades. Additionally, for ABS, cash flow  trends and underlying levels of collateral are monitored.  Housing related ABS securities, CMBS and RMBS are monitored  and reviewed on a monthly basis with detailed modeling  completed on each portfolio quarterly. Model output is generated  Debt securities IMPAIRMENT OF FINANCIAL ASSETS d.  Derivatives exclude derivatives for account of policyholders  amounting to EUR 140 million (2009: EUR 143 million). e.  Investment contracts reflect the fair value of guarantees  issued for which the most significant unobservable input  is the credit spread. The credit spread was increased or  decreased by 20 basis points.  f.  Derivatives that depend on the yield were stressed using  an increase or decrease of the yield by 100 basis points.  Derivatives also include embedded derivatives related to  guarantees (EUR 0.9 billion; 2009: EUR 0.8 billion) for  which the most significant unobservable input is the credit  spread. The credit spread was increased or decreased by  20 basis points.