The estimated fair values of Aegon’s assets and liabilities reflect the amounts that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.

Aegon uses the following hierarchy for measuring and disclosing the fair value of assets and liabilities: Level I - quoted prices (unadjusted) in active markets for identical assets or liabilities that Aegon can access at the measurement date; Level II - inputs other than quoted prices included within Level I that are observable for the asset or liability, either directly (that is, as prices) or indirectly (that is, derived from prices of identical or similar assets and liabilities) using valuation techniques for which all significant inputs are based on observable market data; and Level III - inputs for the asset or liability that are not based on observable market data (that is, unobservable inputs) using valuation techniques for which any significant input is not based on observable market data.

The best evidence of fair value is a quoted price in an actively traded market. An active market involves regular, arm’s length transactions, and fair value excludes forced or distressed sales. If no active market exists or quoted market prices are not available, fair value is estimated using observable market data, such as external quotes and valuation techniques.

Unobservable inputs reflect Aegon’s assumptions about market participants’ pricing, including risk, based on the best available information.

Aegon maintains oversight of financial instrument valuation through a structure that ensures proper segregation of duties. Senior management, independent of investment functions, oversees valuation controls and reporting. For externally sourced fair values, independent validation is used to confirm inputs. Details of these validation processes follow.

Asset and liability valuation follows a pricing hierarchy to ensure a controlled, consistent process that relies on reliable sources with minimal manual input. Depending on asset type, the hierarchy begins with market index prices and proceeds to third-party pricing services or brokers.

The following table sets out the fair values of financial instruments by the level of the fair value hierarchy into which each fair value measurement is categorized. It does not include fair value information for cash and cash equivalents, receivables, and payables, whose carrying amounts are a reasonable approximation of fair value, or for lease liabilities.

Aegon’s policy is to record transfers of assets and liabilities between Level I, Level II and Level III at their fair values from the beginning of each reporting period. Transfers are identified by transaction volume and frequency, which indicate an active market. The table below shows significant transfers between Level I and Level II for financial assets and financial liabilities recorded at fair value on a recurring basis. There was no transfer between Level I and Level II during 2025.

The following table summarizes the change of all assets and liabilities measured at estimated fair value on a recurring basis using significant unobservable inputs (Level III), including realized and unrealized gains (losses) of all assets and liabilities and unrealized gains (losses) of all assets and liabilities still held at the end of the respective period.

In 2024 and 2025, Aegon transferred certain financial instruments from Level I and II to Level III of the fair value hierarchy. The change in level resulted from decreased market liquidity for these securities, which reduced price observability. Prior to transfer, the fair value for the Level II securities was determined using observable market transactions, internal models, or corroborated broker quotes, respectively, for the same or similar instruments. Since the transfer, all such assets have been valued using valuation models incorporating significant inputs or uncorroborated broker quotes.

Similarly, during 2024 and 2025, Aegon transferred certain financial instruments from Level III to Level I and II of the fair value hierarchy. The change in level was mainly the result of a return of activity in the market for these securities, and the fair value could be determined using observable market transactions or corroborated broker quotes for the same or similar instruments.

The table below presents information on the valuation techniques and significant unobservable inputs used in recurring fair value measurements of certain Level III financial instruments.

During 2024 and 2025, no valuation techniques or significant unobservable inputs were applied in the measurement of financial liabilities.

The following table presents the carrying amount and estimated fair values of assets and liabilities, excluding assets and liabilities that are carried at fair value on a recurring basis.

Certain financial instruments that are not carried at fair value are carried at amounts that approximate fair value, due to their short-term nature and generally negligible credit risk. These instruments include cash and cash equivalents, short-term receivables and accrued interest receivable, short-term liabilities, and accrued liabilities. These instruments are not included in the table above.

The description of Aegon’s methods of determining fair value and valuation techniques is described on the following pages.

When available, Aegon uses quoted market prices in active markets to determine the fair value of its investments in shares. For Level III unquoted shares, the net asset value is the best approximation of fair value. Net asset value is the value of an entity’s assets minus the value of its liabilities and may be the same as the book value or the equity value of the entity.

For unquoted shares, fair value may be estimated using alternative methods, such as analyzing price/earnings or price/ cash flow ratios of comparable quoted companies. Valuations are adjusted for company-specific factors and the inherent illiquidity of unquoted investments, typically based on available market data. Management also considers factors such as current performance, changes in market outlook, and the third-party financing environment.

Included in this category are shares in a Federal Home Loan Bank (FHLB) for an amount of EUR 36 million (2024: EUR 77 million), which are reported as part of the line-item Net asset value. An FHLB has implicit financial support from the United States government. The redemption value of the shares is fixed at par, and they can only be redeemed by the FHLB.

The fair values of debt securities are determined by management after taking into consideration several sources of data. Aegon values debt securities using quoted market prices when available. Prices are first sourced from indices and third-party services. If unavailable, broker quotes, mostly are used. Each quote is reviewed by Aegon to ensure it reflects the most appropriate estimate of fair value.

When broker quotes are unavailable, securities are priced using internal cash-flow modeling techniques. These valuation methodologies commonly use the following inputs: reported trades, bids, offers, issuer spreads, benchmark yields, estimated prepayment speeds, issue-specific credit adjustments, indicative quotes from market makers, and/or estimated cash flows.

To understand third-party valuation methodologies, Aegon reviews and monitors the relevant documentation from pricing services. Any methodology changes are noted and assessed for reasonableness. Aegon also conducts sample-based reviews of prices received, aiming to corroborate assumptions, inputs, and methodologies against documented standards. Only providers with strong market presence and proven expertise are used.

Third-party pricing services often base valuations on recent trades of identical or similar securities, adjusting for time elapsed and market data. When recent trades are unavailable, they apply modeling techniques using expected cash flows and market-based discount rates.

Aegon periodically analyzes inputs from pricing services and brokers to ensure they yield reasonable fair value estimates. Asset and valuation specialists consider both qualitative and quantitative factors, including recent transactions in similar debt securities, pricing trends, and relevant market events. Additional controls include validation checks such as exception reports for significant price changes, stale prices, or unpriced securities. Back testing is also performed by comparing sample trade prices with those used in financial reporting, with significant variances investigated.

Credit ratings are considered in assessing security risk but are not solely relied upon. Aegon uses an internal process based on market-observable inputs to form its risk view.

Private placement securities (classified as fair value through OCI or profit or loss) are valued using matrix pricing from a third-party provider, based on weighted average life, credit rating, and sector. Asset specialists review the matrix monthly, comparing spreads to market data. Other valuation inputs include coupon rate, interest rate curves, and liquidity premiums, which are based on recent private placement transactions. The liquidity premium’s impact on overall valuation is insignificant.

Aegon’s portfolio of debt securities can be subdivided into residential mortgage-backed securities (RMBS), commercial mortgage-backed securities (CMBS), asset-backed securities (ABS), corporate bonds, and government debt. Relevant details of the valuation methodologies for these specific types of debt securities are described below.

Valuations of RMBS, CMBS, and ABS are monitored and reviewed monthly. If Aegon must use internal valuation models, key inputs are based on relative value analyses that compare instruments with similar collateral and risk profiles. Market-standard models may be used to reflect each transaction’s collateral composition and cash flow structure. The most significant unobservable input is the liquidity premium embedded in the discount rate.

Corporate bond valuations are monitored and reviewed monthly. The pricing hierarchy depends on the ability to corroborate market prices. When unavailable, valuations are based on discounted cash flow using an internally calculated yield, which includes a credit spread over an observable benchmark. The credit spread combines observable and unobservable inputs. Aegon begins with a credit spread from a similar bond by the same issuer and adjusts it for unobservable factors such as subordination, liquidity, and maturity. In 2025, no corporate bonds met the threshold for internal modeling.

When available, Aegon uses quoted market prices in active markets to determine the fair value of its government debt investments. When Aegon cannot use quoted market prices, it uses market prices from indices or quotes from third-party pricing services or brokers.

The fair value of assets maturing within a year is approximated by their carrying amount, adjusted for credit risk where appropriate. Credit risk adjustments are based on market observable credit spreads if available, or management’s estimate if not market observable.

The Level III fair value of tax credit investments is determined using a discounted cash flow approach. This takes into account projected capital contributions, distributions, future tax credits, and tax benefits from operating losses. The present value of these cash flows is calculated using a discount rate, generally based on the timing and amounts of investment outflows and inflows. These inputs are unobservable. The discount rate used was 6.7% (December 31, 2024: 6.7%).

Fair values of investment funds are determined by management based on information from fund managers. Aegon reviews these valuations monthly, performing analytical and trend analyses to ensure appropriateness. The net asset value is considered the best approximation of fair value.

For private loans, fixed-interest mortgage loans, and other originated loans, fair value for disclosure is estimated by discounting expected cash flows at current market rates for instruments with similar yields and maturities. For fixed interest mortgage loans, the rate is adjusted for expenses, prepayment rates, lapse assumptions (unobservable), and liquidity and credit risk (observable). Increases in expense spread or prepayment assumptions reduce fair value.

The fair value of floating-interest-rate mortgage loans, policy loans and private placements used for disclosure purposes is assumed to be approximated by their carrying amount, adjusted for changes in credit risk. Credit risk adjustments are based on market observable credit spreads if available, or management’s estimate if not market observable.

When quoted market prices are unavailable, alternative valuation techniques, such as option pricing or stochastic modeling, are used. The valuation techniques incorporate all factors a typical market participant would consider and, when available, are based on observable market data. Models are validated before they are used and calibrated to ensure that outputs reflect actual experience and comparable market prices.

Fair values for exchange-traded derivatives, such as futures and certain options, are based on quoted market prices. OTC derivatives are valued using pricing models that estimate the net present value of future cash flows, incorporating observed prices from exchange-traded and OTC trades, or external pricing services. Most valuations rely on swap and volatility matrices built from current market data. Option pricing uses standard models and market levels. Complex or illiquid instruments are priced using internal models or independent third parties, with extrapolation applied for long-dated illiquid contracts to estimate unobservable inputs.

Some OTC derivatives are longevity derivatives, with payouts linked to public mortality tables. These are valued at the present value of expected payouts plus a risk margin. Expected payouts are based on the best-estimate mortality developments, while the risk margin is derived by stressing these estimates and applying a approach. Depending on the swap’s duration, the most significant unobservable input is either projected mortality or the discount rate.

Aegon normally mitigates counterparty credit risk in derivative contracts by entering into collateral agreements where practical and by using ISDA master netting agreements for each of the Group’s legal entities, to facilitate Aegon’s right to offset credit risk exposure. Changes in the fair value of derivatives attributable to changes in counterparty credit risk were not significant.

Valuations of Level III real estate investments and real estate held for own use are conducted by independent external appraisers at least every three to five years and reviewed annually by qualified internal appraisers to ensure fair value at the reporting date. While appraisals vary by local market, they follow standards such as the International Valuation Standards, the Uniform Standards of Professional Appraisal Practice, or Investment Property Databank guidelines. Valuations are primarily based on active market prices, adjusted for differences in property characteristics. When market data is unavailable, other methods are used, considering net earning power, comparable sales, or replacement cost. Discount rates reflect asset-specific cash flow risks, while capitalization rates represent the relationship between net operating income and property value. For properties, appraisers estimate the present value of potential rental income.

Trust pass-through securities and subordinated borrowings are either carried at fair value (if they are designated as financial liabilities at fair value through profit or loss) or amortized cost (with fair value being disclosed in the notes to the consolidated financial statements). To determine the fair value of these instruments, the IFRS level hierarchy is used. The preferred method for measuring the fair value of fair value option bonds is the quoted price (Level I). In cases where markets are less liquid or quoted prices are unavailable, Aegon’s valuation policy uses a pricing hierarchy that prioritizes publicly available prices sourced from indices and third-party pricing services. The US trust pass-through securities and subordinated borrowings are classified as Level II of the fair value hierarchy.

Investment contracts issued by Aegon are carried at fair value (if designated through profit or loss) or amortized cost, with fair value disclosed in the notes. These contracts are not quoted in active markets, and fair values are determined using valuation techniques such as discounted cash flow, stochastic modeling, or unit-linked pricing. All models are validated and calibrated, taking into account factors such as time value, volatility, policyholder behavior, servicing costs, and comparable instruments.

For complex products, stochastic techniques are used to model dynamic cash flows under various market scenarios. Inputs include expected market returns, volatility, return correlations, discount rates, and actuarial assumptions.

Expected returns are based on risk-free rates, including Secured Overnight Financing Rate (SOFR) swap rates, associated forward rates, the Overnight Index Swap (OIS) curve, or local government bond yields. Market volatility assumptions for each index are derived from implied volatility data and/or historical performance. Correlations between indices are based on observed returns and their interrelationships over several years. Present values of projected cash flows are calculated using current risk-free spot rates. Customer behavior assumptions, such as lapses, are aligned with those used for insurance liability valuations.

The table that follows summarizes the carrying amounts of financial assets and financial liabilities that are classified as fair value through profit or loss, with appropriate distinction between those financial assets and financial liabilities held for trading and those that, upon initial recognition, were designated as fair value through profit or loss.

Aegon has certain insurance and investment liabilities that are carried at fair value with changes in the fair value recognized in the income statement. The Group has elected to designate the investments backing those liabilities at fair value through profit or loss, as a classification of fair value through OCI would result in accumulation of unrealized gains and losses in a revaluation reserve within equity, while changes to the liability would be reflected in net result (accounting mismatch).

In addition, investments where policyholders bear the risk include profit assets, whereby Aegon manages the assets together with related liabilities on a fair value basis in accordance with a documented policy for asset and liability management. In accordance with the Group’s accounting policies, these assets have been designated as fair value through profit or loss.

Investments where the policyholder bears the risk include assets linked to various insurance and investment contracts, for which the financial risks are borne by the customer. Under the Group’s accounting policies, these insurance and investment liabilities are measured at the fair value of the linked assets with changes in the fair value recognized in the income statement. To avoid an accounting mismatch, the linked assets have been designated as fair value through profit or loss.

With the exception of the financial liabilities with discretionary participation features that are not subject to the classification and measurement requirements for financial instruments, all investment contracts without discretionary participation features where the policyholder bears the risk, are carried at fair value or at the fair value of the linked assets, and are included in the table above.

With the exception of derivatives designated as a hedging instrument, all derivatives are included in the table above.