See accounting policies T and U.

As at year-end, borrowings had the following terms to maturity:

Borrowings increased mainly due to the acquisition of Aegon NL, of which € 933 million are due to banks. At year-end 2023, the fair value of borrowings was € 6,453 million (2022: € 185 million). For information regarding the fair value, see chapter 7.7.1.2. The average interest rate payable on loans was 6.01% (2022: 1.40%). The average incremental borrowing rate on the lease liabilities was 1.29% (2022 : 1.48%).

On 13 July 2023, a.s.r. issued € 500 million in Residential Mortgage-Backed Security (RMBS) notes through a newly established securitisation programme called Delphinus 2023-I. The underlying pool consists of residential mortgage loans that are sold by a.s.r. life to Delphinus 2023-I B.V. The Class A notes that are issued under the programme, are rated AAA (sf)/AAA (sf) by Fitch and S&P. They exhibit a weighted average life of 4.9 years and a First Optional Redemption Date (FORD) in September 2029.

On 6 December 2023, Aegon life restructured ‘Saecure 17’, by expanding Saecure 17 with new mortgage loans and extending the First Optional Redemption Date (FORD) with no impact on equity and result. The nominal amount of € 2,055 million of class A notes was increased to € 4,350 million. The FORD is extended from the Notes Payment Date falling in October 2025 to the Notes Payment Date falling in January 2030, resulting in an expected weighted average lifetime (WAL) at restructuring of approximately 5 years. The fixed coupon of the class A notes remains unchanged at 0.50% till FORD. As all notes have been retained by Aegon life, the notes acquired by Aegon life are not recognised on the balance sheet, as there was no derecognition of the related mortgage loans.

These notes can be used as collateral for the repurchase facilities (repo’s) and/or reinsurance transactions that Aegon Levensverzekering has entered into with third parties, or alternatively sold to third party investors. At year-end 2023, € 375 million has been posted as collateral with respect to the longevity reinsurance contract with Canada Life Reinsurance and € 200 million has been posted as collateral with respect to the longevity reinsurance contract with RGA.

The following structured entities are group companies and have been consolidated:

• SAECURE 16 B.V.;

• SAECURE 17 B.V.;

• SAECURE 18 NHG B.V.;

• SAECURE 19 B.V.;

• SAECURE 20 B.V.;

• Aegon Hypotheken Financiering B.V.;

• Aegon Hypotheken Prefunding B.V.;

• Kigoi 2013 B.V.;

• Aegon Conditional Pass Through Covered Bond Company B.V.;

• Soft bullet program Knab;

• Delphinus 2023-I B.V.

The structured entities relate to the securitisation of mortgage loans or consumer credit loans. The contractual agreements with these entities do not include provisions in which a.s.r. could be required to provide financial support in certain circumstances. a.s.r. has not provided, nor has intentions to provide, financial or other support without having a contractual obligation to do so.