ANNUAL REPORT 2010 125 1  Further information on equity risk is provided in section ‘equity market and other investment risk. AEGON has entered into free-standing credit derivative  transactions (Single Tranche Synthetic CDOs and Single Name  Credit Default Swaps - CDSs). The positions outstanding at the  end of the year were: AEGON USA unwound significantly all of its synthetic CDO  positions during 2009. For a fee, AEGON USA had taken credit  exposure on a credit index, i.e. super-senior tranches of the CDX  index, via a synthetic collateralized debt obligation program  (synthetic CDO).  AEGON has issued the Swaps under an ISDA Master Agreement  requiring collateralization of the Swap’s market value. The  amount of collateral to be posted by AEGON is subject to a  threshold of EUR 15 million, provided AEGON maintains it  current credit rating. In August 2007, the Canadian asset backed commercial paper  markets froze, which ultimately resulted in a restructuring of  the Asset Backed Commercial Paper (ABCP) into long term  asset backed notes. The restructuring required AEGON to  restructure its EUR 113 million notional liquidity facility  agreement backing the original ABCP. To restructure the  liquidity facility, AEGON entered into swaps (the “Swaps”) that  are linked to three collaterilized debt obligations comprising the  assets within the liquidity facility backed ABCP (the “CDO”). The  three CDOs are as follows: The Swaps exposure to the CDO will be reduced by a  proportionate share of the assets that supported the original  ABCP and from additional funding sources negotiated as part of  the ABCP restructuring (the “Margin”). The market value of the  Margin allocated to the Swaps is EUR 403 million. If losses  attached to any of the CDO that exceeds the fair value of the  Margin, then AEGON will recognize a loss on its Swaps. AEGON  considers it remote that a loss will be incurred due to the  attachment point on the tranches and the amount of Margin. The Swaps also incorporate the unwind triggers that were built  into the restructured long term notes. The triggers are defined  by a matrix based on credit losses and credit spreads related to  the underlying CDX.IG.7. If a trigger event occurs, AEGON will  have the option to continue with the existing Swaps, settle the  market value of the Swaps, or terminate the Swaps and enter  SHARPENING OUR FOCUS ■ 15%-30% tranche of a bespoke CDO (EUR 957 million  notional) maturing 6/20/2013 ■ 30%-60% tranche of the CDX.IG.6 index (EUR 766 million  notional) maturing 6/20/2016 ■ 30%-60% tranche of the CDX.IG.7 index (EUR 287 million  notional) maturing 12/20/2016 CDOs and CDSs 2010 2009 Notional Fair value  Notional Fair  value Synthetic CDOs 78 – 80 (6) CDSs 3,306 (6) 989 (11) General account exposure Exposure 2010 Exposure 2009 Shares  1   2,376  2,096  Debt securities – carried at fair value  96,725  91,398  Debt securities – carried at amortized cost  139  70  Money market and other short-term investments – carried at fair value  10,800  10,064  Mortgage loans – carried at amortized cost  23,781  21,525  Private loans – carried at amortized cost  829  760  Other loans – carried at amortized cost  3,093  3,283  Other financial assets – carried at fair value  2,661  2,430  Derivatives with positive values  5,722  4,428  Reinsurance assets  5,489  4,953  AT DECEMBER 31 151,615 141,007