189 The fair values of Aegon USA’s RMBS instruments were determined as follows: Level II Level III Total 2013 Level II Level III Total 2012 RMBS 4,089 271 4,360 4,730 349 5,079 Commercial mortgage-backed securities CMBS of Aegon USA are monitored and reviewed on a monthly basis. Detailed cash flow models using the current collateral pool and  capital structure on the portfolio are updated and reviewed quarterly. Model output is generated under base and several stress-case  scenarios by Aegon’s internal CMBS asset specialists. For conduit securities, a widely recognized industry modeling software is used to  perform a loan-by-loan, bottom-up approach. For non-conduit securities, a CMBS asset specialist works closely with Aegon’s real estate  valuation group to determine underlying asset valuation and risk. Both methodologies incorporate external estimates on the property  market, capital markets, property cash flows, and loan structure. Results are then closely analyzed by the asset specialist to determine  whether or not a principal or interest loss is expected to occur. Securities are impaired to fair value when Aegon expects that it will not receive all contractual cash flows on its tranches. As the  remaining unrealized losses in the CMBS portfolio relate to holdings where Aegon expects to receive full principal and interest, Aegon  does not consider the underlying investments to be impaired as of December 31, 2013. There are no individual issuers rated below investment grade in the CMBS sector which have unrealized loss position greater than  EUR 25 million. The tables below summarize the credit quality of Aegon USA’s AFS CMBS portfolio. Additionally, Aegon USA has investments in CMBS  of EUR 38 million (2012: EUR 62 million), which are classified as fair value through profit or loss. The total gross unrealized loss on AFS CMBS of Aegon Americas, Aegon the Netherlands and Aegon UK amounts to EUR 91 million  (2012: EUR 102 million), of which all relates to positions of Aegon USA. The total net unrealized gain on CMBS is EUR 162 million  (2012: EUR 354 million), of which EUR 88 million (2012: EUR 247 million) relates to positions of Aegon USA and EUR 72 million  relates to positions of Aegon UK. The commercial real estate market previously experienced a deterioration in property level  fundamentals over 2008-2010, which led to an increase in CMBS loan-level delinquencies. The introduction of 30% credit enhanced  tranches within the 2005-2008 vintage deals provide some offset to these negative fundamentals. Over the last year, the CMBS  market experienced several positive factors as commercial real estate fundamentals have begun to display some signs of stabilization.  The pace of credit deterioration appears to be moderating as property transactions have increased and there is greater availability of  financing for commercial real estate. Liquidity has improved within the CMBS market, but a broad re-pricing of risk has kept credit  spreads on legacy subordinate CMBS tranches at wide levels. Aegon Americas, Aegon the Netherlands and Aegon UK hold EUR 5,160 million (2012: EUR 5,606 million) of AFS commercial  mortgage-backed securities (CMBS), of which EUR 4,663 million (2012: EUR 5,137 million) is held by Aegon USA, EUR 398 million  (2012: EUR 438 million) by Aegon UK and EUR 82 million (2012: EUR 9 million) by Aegon the Netherlands. CMBS are securitizations of  underlying pools of mortgages on commercial real estate. The underlying mortgages have varying risk characteristics and are pooled  together and sold in different rated tranches. The company’s CMBS include conduit, large loan, single borrower, commercial real estate  collateral debt obligations (CRE CDOs), collateral debt obligations (CDOs), government agency, and franchise loan receivable trusts. CMBS by quality AAA AA A BBB <BBB Total  amortized  cost Total fair  value CMBS 3,678 354 395 231 232 4,890 5,137 At December 31, 2012 3,678 354 395 231 232 4,890 5,137 CMBS by quality AAA AA A BBB <BBB Total  amortized  cost Total fair  value CMBS 3,664 300 295 173 143 4,575 4,663 At December 31, 2013 3,664 300 295 173 143 4,575 4,663