Achmea Hypotheekbank N.V. annual report 2011

Achmea Hypotheekbank N.V. 

annual report 2011

Profile 5 

Key figures 9 

Report of the Supervisory Board 10 

Report of the Executive Board 13 

Implementation of and Compliance with the Banking Code 17 

Consolidated Statement of financial position 20 

Consolidated Statement of comprehensive income 21 

Consolidated Statement of changes in equity 22 

Consolidated Statement of cash flows 23 

Notes to the Consolidated financial statements 25 

1. General information 25 

2. Summary of significant accounting policies 25 

3. Financial risk management 37 

4. Critical estimates and judgements used in applying the accounting policies 51 

5. Cash and cash equivalents 52 

6. Derivatives held for risk management 52 

7. Loans and advances to banks 53 

8. Loans and advances to public sector 53 

9. Loans and advances to customers 53 

10. Interest-bearing securities 56 

11. Prepayments and other receivables 56 

12. Deposits from banks 56 

13. Funds entrusted 57 

14. Debt securities issued 57 

15. Subordinated liabilities 58 

16. Accruals and other liabilities 58 

17. Deferred tax assets and liabilities 59 

18. Current tax assets and liabilities 60 

19. Shareholders’ equity 60 

20. Interest margin and changes in fair value of financial instruments 60 

21. Fees and commission expenses 62 

22. Operating expenses 62 

23. Staff costs 63 

24. Auditors’ fees 63 

25. Income tax expenses 64 

26. Contingent liabilities and commitments 64 

27. Related parties 65 

28. Executive Board and Supervisory Board 68 

29. Subsequent events 68 

Statement of financial position of Achmea Hypotheekbank N.V. 69 

Statement of comprehensive income 70 

Statement of changes in company equity 71 

Notes to the Company financial statements 72 

Independent Auditors’ report 73 

Profit appropriation according to the articles of association 74 

Proposal for profit appropriation 75 

Content 

Achmea Hypotheekbank N.V. | 2011 3

4 

‘Operating profit 

remained positive’

Profile 

Achmea Hypotheekbank N.V. (‘Achmea Hypotheekbank’ or the Bank), which was founded in 1995, is licensed as a financial 

services provider under the Financial Supervision Act (Wft). All shares in the company are held by Achmea Bank Holding N.V., 

which in turn is wholly owned by Achmea B.V. (hereinafter, together with its subsidiaries and affiliates, referred to as ‘Achmea 

Group’). 

Achmea Hypotheekbank provides owner-occupied residential property mortgage loans to private customers under the labels 

Centraal Beheer Achmea, FBTO and Woonfonds Hypotheken. Centraal Beheer Achmea offers mortgage loans directly to 

consumers, FBTO operates via the mortgage service of Vereniging Eigen Huis and Woonfonds Hypotheken employs the 

distributive power of intermediaries. Mortgage lending is one of the key elements in the total array of financial products that 

Achmea Group offers its clients. 

Mortgage lending is secured by a contingent claim on residential properties in the Netherlands. Achmea Hypotheekbank obtains 

a substantial part of its funding in the form of notes issued on the capital markets. Funding is also provided by savings inflow 

from Achmea Retail Bank N.V. (‘Achmea Retailbank’), which is on lent to Achmea Hypotheekbank. 

Achmea Group, one of the largest insurance companies in The Netherlands, offers its clients a range of insurance and banking 

products and services. Achmea Group is an innovative service provider with ambition to provide financial comfort to its 

customers. Apart from the Achmea corporate label, the other main labels are Centraal Beheer Achmea, Interpolis, Zilveren 

Kruis Achmea, Avéro Achmea, FBTO, Woonfonds Hypotheken and Agis. 

At year end Vereniging Achmea is the largest shareholder holding 65% of the outstanding shares; Rabobank Groep holds 29% 

of the shares. 

The Standard & Poor’s rating of Achmea Hypotheekbank for debt securities with a maturity of more than one year is A (stable outlook). 

Financing and collateral 

Achmea Hypotheekbank funds its lending business partly by issuing notes on the capital markets. These loans are predominantly 

secured by pledges on mortgage receivables. 

The pledges can be analysed as follows: 

In thousands of euros 2011 2010 

Trustee 1,156,486 2,037,566 

Covered bond 4,015,834 4,189,976 

Securitisations 5,506,172 6,164,786 

Total pledged mortgage receivables 10,678,492 12,392,328 

Trustee 

Stichting Trustee Achmea Hypotheekbank (‘Trustee’) was established on 16 December 1995. This first collateral structure set 

up by Achmea Hypotheekbank was defined in a trust agreement, under which Achmea Hypotheekbank periodically pledges 

mortgage receivables to Stichting Trustee Achmea Hypotheekbank as security for designated Achmea Hypotheekbank liabilities 

under financing contracts such as those relating to private loans, derivatives and the EUR 10 billion secured debt issuance 

programme (the ‘EMTN Programme’). In the event of default by Achmea Hypotheekbank, investors can recover the debt from 

the pledged mortgage receivables. 

The Executive Committee of Trustee comprises Messrs H.P. de Haan, A.H.J. Kolnaar (chairman) and H.M.J.A. Smits. 

Achmea Hypotheekbank N.V. | 2011 

5

Capital market investors 

Trust agreement 

Trustee 

Secured loans 

Pledge of 

mortgage Claims 

Achmea Hypotheekbank 

Loan 

Mortgage rights 

Borrowers 

It has been agreed with the Executive Committee of the Trustee that the value of the pledged mortgage loans will at all times be 

at least 5% in excess of the nominal value of the securitised loans. At the end of 2011, EUR 1.2 billion (2010: EUR 2.0 billion) 

of the total mortgage portfolio was pledged to the Trustee, in exchange for which the Trustee has countersigned EUR 1.0 billion 

(2010: EUR 1.2 billion) of the loans from third parties. The EMTN programme accounts for EUR 0.6 billion (2010: EUR 0.7 

billion) of the countersigned loans. 

Pledged mortgage loans (Trustee) 

In millions of euros 2011 2010 

Pledged mortgage loans 1,156 2,038 

Remaining debt of countersigned loans 867 949 

Addition of negative market value of derivative financial instruments 174 297 

Total countersigned liabilities 1,041 1,246 

Excess value of pledged mortgage loans 115 792 

Excess value (%) 11.0% 63.6% 

European Medium Term Notes Programme 

The EMTN Programme, launched in 1996, is used to fund a substantial portion of the mortgage portfolio. No notes were issued 

under the EMTN programme in 2011. As at year-end 2011, a total of EUR 0.6 billion was outstanding (2010: EUR 0.7 billion). 

Of the issued notes one is listed on EuroNext Amsterdam (EUR 0.5 billion) and three on Société de la Bourse de Luxembourg 

(EUR 0.1 billion). As stated above, the EMTN Programme benefits from the Trustee security arrangement. 

Covered Bond Programme 

In 2007 Achmea Hypotheekbank set up a EUR 10 billion covered bond programme (the ‘Achmea Covered Bond Programme’) 

to finance part of its mortgage portfolio. Under this programme Achmea Hypotheekbank has established eight covered bonds 

issues so far. 

Achmea Hypotheekbank acts as originator and issuer under the programme and consequently has the primary obligation to 

pay interest and principal payable on the covered bonds issued under the programme. The Achmea Covered Bond Company 

(‘ACBC’), a bankruptcy remote special purpose company under this programme, provides the covered bond investors with a 

guarantee for full payment of interest and principal on the outstanding bonds under the programme. Achmea Hypotheekbank 

provides guarantee support to ACBC by the transfer of mortgage receivables to ACBC. The outstanding amount of these 

transferred mortgage receivables will at all times be at least 27.7% higher than the bonds issued under the programme. 

6

The obligations of ACBC under the guarantee will be secured (indirectly, through a parallel debt) by a pledge of the mortgage 

receivables to a Security Trustee. 

ACBC’s management board is formed by ATC Management B.V. management of the Stichting Trustee Achmea Covered Bond 

Company is formed by ANT Trust & Corporate Services N.V. and the Administrator under this programme has also been 

formed by ATC Management B.V. 

Security Trustee ACBC 

Parallel debt 

Covered Bond Investors 

Bond 

proceeds 

Principal 

& interest 


Guarantee 

ACBC 

Pledge of 

mortgage 

receivables 

Mortgage 

loan 

Mortgage 

rights 

Borrowers 

The Achmea Covered Bond Programme is not registered with De Nederlandsche Bank (DNB). 

Pledged mortgage loans (Covered Bond) 


Pledged mortgage debts 4,016 4,190 

Aggregate Principal Amount outstanding of Covered Bonds 2,907 2,907 

Securitisation 

Achmea Hypotheekbank also uses securitisation transactions as a funding instrument. Since 2000, eleven securitisation 

transactions have been established; three of these transactions have been called. In all these securitisation transactions, Achmea 

Hypotheekbank has assigned a fixed portfolio of mortgage receivables to a specially formed legal entity known as a ‘specialpurpose 

vehicle’ (SPV). 

These companies are managed by ATC Management B.V. 

The SPVs have issued notes on the capital market. Achmea Hypotheekbank manages the assigned portfolio of mortgage 

receivables. The SPVs use the income from the mortgage receivables for payment of principal and interest on the bonds they 

have issued. Securitisation does not only provide funding to Achmea Hypotheekbank but in some cases also reduces its capital 

requirements. 


7

Capital market investors 

Notes 

SPV 

Mortgaged receivables 

purchase agreement 

Transfer of mortgage 

claims 


Mortgages 

Mortgage 

rights 

Borrowers 

Programme for the Issuance of Dutch State Guaranteed Notes 

During the last quarter of 2009 Achmea Hypotheekbank entered into a notes issuance programme under the 2008 Credit 

Guarantee Scheme of the State of the Netherlands. Under this programme, the State of the Netherlands guarantees the payment 

of principal and interest relating to the notes. 

Shortly after the establishment of the programme, Achmea Hypotheekbank issued USD 3.25 billion notes under the programme 

with a maturity of five years. 

At the end of 2011 Achmea Hypotheekbank purchased USD 0.9 billion of its outstanding USD fixed tranche of the State 

Guaranteed Notes. 

Savings 

Via Achmea Retail Bank N.V., a wholly owned subsidiary of Achmea Bank Holding N.V., savings are provided under the 

Centraal Beheer Achmea and FBTO labels. A substantial part of these savings capital is used to fund Achmea Hypotheekbank’s 

mortgage portfolio. As at 31 December 2011, EUR 2.5 billion of funding was attracted by Achmea Hypotheekbank (2010: EUR 

1.4 billion). 

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Key Figures 

In millions of euros 2011 2010 2009 2008 2007 

Total assets 15,946 16,075 15,999 15,672 14,595 

Loans and advances to customers 13,187 13,477 14,137 14,669 13,595 

Shareholders’ equity 489 529 484 434 380 

Subordinated liabilities 108 175 181 197 197 

Capital base 596 704 665 631 577 

Interest margin (including fees and commissions) 51 85 109 86 79 

Changes in fair value of financial instruments -65 23 6 3 -4 

Income -14 108 115 89 75 

Operating expenses 36 38 36 35 35 

Impairment on intangible assets - - 3 10 - 

Impairment on financial instruments and other assets 6 9 10 6 6 

Profit before income taxes -55 61 66 38 34 

Income tax expense -14 15 16 9 8 

Net profit -42 46 50 29 26 

Efficiency ratio (excl. changes in fair value) 69.7% 44.7% 33.0% 40.7% 44.3% 

Core Tier 1 ratio 11.7% 12.8% 10.4% 9.7% 10.1% 

BIS ratio 12.6% 15.3% 13.1% 12.9% 14.0% 


9

Report of the Supervisory Board 

The Supervisory Board met with the Executive Board on four occasions during the year and had two conference calls. Important 

items on the agenda included the full-year and quarterly figures, budgeting, the funding structure and the strategy of the 

mortgage business, Risk Management, staffing and the internal organization. The Supervisory Board furthermore discussed 

the performance of the Supervisory Board (self-assessment), remuneration policy and market trends. The dividend policy was 

reviewed, resulting in the decision to abstain from dividend payment. 

The Supervisory Board discussed with the Executive Board the strategy, which was initiated in 2009. The Supervisory Board 

supports this strategy, which consists of creating value by complementing the core product offered by the Achmea Group. 

The Supervisory Board discussed the funding of Achmea Hypotheekbank including the savings campaign of Achmea Retail 

Bank. Furthermore, the Supervisory Board discussed the issuance of DMPL IX securitisation for an amount of EUR 760 million 

in July 2011, which enabled Achmea Hypotheekbank to meet its funding requirements by a comfortable margin. 

The Supervisory Board endorsed the early redemption of the fixed tranche of the State Guaranteed Notes for an amount of USD 

900 million. This transaction was executed in December 2011. 

The Supervisory Board participated in the assessment of risk management in general and management of credit risk, interestrate 

risk, liquidity risk and operational risk in particular. The Audit & Risk Committee, which held six meetings during 2011, 

discussed with the Executive Board the realisation of the funding plan, established the risk appetite and discussed the future 

compliance with Basel III requirements. In addition to this, the Supervisory Board monitored the reports of the internal and 

external auditors and discussed the effectiveness of the current governance structure and risk management. 

A programme of permanent education was initiated in 2010 and continued in 2011 for the Supervisory Board and Executive 

Board members combined. The main topics covered in 2011 were ‘Basel III regulation’ and developments in laws and regulation. 

The Audit & Risk Committee attended a detailed presentation on hedge accounting. 

The operational result amounted to a profit of EUR 10 million, in view of the current market conditions, the strong liquidity 

position and strong capitalisation the Supervisory Board is satisfied with this operational result. Achmea Hypotheekbank 

reported a net loss of EUR 42 million, mainly due to negative fair value results and a one-off loss of EUR 12 million as a result 

of the partial redemption of the state guaranteed loan. Notwithstanding the aforementioned, the decrease in net interest margins 

and profitability during 2011 are a cause for paying heightened attention to profit enhancing initiatives. 

Mrs. Margreet van Ee succeeded Mr. Jurgen Stegmann as chairman of the Executive Board of Achmea Hypotheekbank as of 

1 March 2011. The position of Director of Finance and Risk in the Executive Board is held by Mr. Martijn Wissels. 

The remuneration committee consists of two members of the Supervisory Board (Mr. E.A.J. van de Merwe and Mr. T.C.A.M. 

van Rijckevorsel), which held two meetings during 2011. The remuneration committee evaluated the remuneration of the 

Executive Board members. 

In late 2010, it was announced by the regulatory authorities that the ‘Sound Remuneration Policy’ (Regeling Beheerst 

Beloningsbeleid) would become effective in 2011 based on the European CEBS-guidelines. Ultimately, Achmea and the 

regulators agreed on the establishment of a variable remuneration scheme that meets the tightened regulatory requirements. 

With this, compliancy with the Banking Code is also achieved. The Supervisory Board of Achmea Hypotheekbank follows the 

developments regarding remuneration and for the implementation of the requirements the Board will subscribe to the Achmea 

Group. 

10

For more details regarding remuneration policies and the Remuneration Committee, see the Remuneration Report on 

www.achmea.nl or www.achmea.com. 

We propose that the General Meeting of Shareholders adopt the 2011 financial statements as presented. Adoption of the 

financial statements will ratify the actions of the members of the Executive Board and Supervisory Board pursuant to article 33, 

paragraph 4, of the Articles of Association. 

The Supervisory Board takes this opportunity to thank the staff of Achmea Hypotheekbank for their commitment and the 

results achieved in 2011. 

Tilburg, 7 March 2012 

The Supervisory Board 

E.A.J. van de Merwe* (chairman) 

A.A. Lugtigheid 

J.B.J.M. Molenaar 

G. van Olphen 

T.C.A.M. van Rijckevorsel* 

* Member of the Audit & Risk Committee 


11

12 

‘Standard and Poor’s 

raised the rating of 

Achmea Hypotheekbank’

Report of the Executive Board 

General 

Overall, 2011 was a relatively satisfactory year for Achmea Hypotheekbank. First and foremost, the Bank exceeded its financing 

targets for the year and maintained its strong capitalisation and healthy balance sheet structure despite difficult market 

circumstances. The bank completed a number of successful financial transactions, including the partial early redemption of 

one of its state guaranteed loans due in 2014. At the same time, the strategy that was initiated in 2009 remained firmly on 

track, as the balance sheet was de-risked further and the mortgage portfolio was reduced at a controlled pace. Throughout the 

year, the quality of the credit portfolio remained very strong indeed. However, notwithstanding the aforementioned, the net 

interest margin declined by 38% compared to 2010. Over 2011 Achmea Hypotheekbank reported a net loss of EUR 42 million, 

representing a decline of EUR 88 million compared to 2010, which was largely attributable to a fair value loss of EUR 65 million 

in 2011. In 2011, the operational result (excluding fair value) amounted to a profit of EUR 10 million. 

Strategy 

During 2011 Achmea Hypotheekbank continued with the implementation of the strategic realignment initiated in 2009. 

This strategic realignment consists of: 

• Limiting the inflow of new business and maintaining acceptable levels of operating profitability; 

• De-risking the balance sheet and reducing the reliance on wholesale funding; 

• Focus on operational efficiency and cost reduction; 

• Unwavering emphasis on debt servicing and ensuring above average performance of the credit portfolio; 

• Enhancing the product offering of the other Achmea Group companies. 

The Bank’s products complement the wider product offering of the Achmea Group as evidenced, amongst other, by the crosssell 

between the Bank’s products and that of the insurance businesses of the Achmea Group. In addition to that, Achmea 

Retail Bank, a wholly owned subsidiary of Achmea Bank Holding N.V, was very successful for the second consecutive year, in 

attracting bank savings deposits. These retail savings provide a source of funding for the mortgage business and meet a growing 

demand for (fiscally facilitated) savings in the Dutch market, whilst mortgage products remain an anchor product for selling 

insurance products within Achmea Group. 

Market developments 

In 2011 the residential housing markets showed no sign of revival. The average transaction price for house sales declined by 

2.3% compared to 2010, whilst the number of houses sold declined by 4%. For the coming year expectations are that house 

prices will fall at the same pace as during 2011. As was the case in the preceding year, the outlook for house prices and volume of 

transactions in the residential housing market remains uncertain. The main impediments to a sustained recovery in the volume 

of transactions remains a lack of consumer confidence. As uncertainty about future economic conditions persists, the residential 

housing market will remain uncertain. 

Fortunately, the Dutch economy continued to perform comparatively better than in the surrounding countries. Unemployment 

in The Netherlands remained well below the average for the European Union. Comparatively low unemployment, combined 

with the favourable tax treatment of residential mortgages as well as a general shortage of residential housing, accounted for the 

fact that the debt servicing and payment performance of residential mortgages in the Dutch market in terms of debt servicing 

and payment arrears remained strong. 

Risk Management 

In 2011 the Bank continued upgrading the quality of the Risk Management Department. The risk appetite and capital 

contingency plan were reviewed in light of the current conditions on the capital markets. 


13

As part of its ongoing internal review process, Achmea Hypotheekbank performed a structured assessment of its key risks and 

key controls that have been defined for the Bank’s key processes. Weaknesses in key risk and key controls have been identified 

and appropriate remedial actions were initiated. The Executive Board assessed the operating effectiveness of the internal control 

process. The Executive Board is satisfied with the aforementioned developments. 

Basel III 

The new Basel III framework comprises several improvements on the quality of the capital held by banks, the risk coverage of 

capital requirements, a reduction of procyclicity and the introduction of the leverage ratio. 

Based on the current rules, Achmea Hypotheekbank expects to comply with the future requirements. 

Corporate Governance 

Achmea Bank adheres to the Banking Code as described in section ‘Implementation of and compliance with the Banking Code’. 

We further refer to www.achmeamortgagebank.com for a description of the Bank’s internal procedures on the financial reporting 

process. 

Financial analysis 

Achmea Hypotheekbank key figures 

In millions of euros 2011 2010 Change 

Interest Income 648 686 -6% 

Interest expense 593 597 -1% 

Interest margin 55 89 -38% 

Changes in fair value of financial instruments -65 23 -383% 

Interest margin and changes in fair value of financial instruments -10 112 -109% 

Fee and commission expense 4 4 -7% 

Operating income -14 108 -113% 

Impairment on financial instruments and other assets 6 9 -35% 

Operating expenses 36 38 -6% 

Total expenses 42 47 -12% 

Profit before income taxes -55 61 -191% 

Income tax expense -14 15 -192% 

Net profit -42 46 -190% 

Ratios 2011 2010 

Return on average equity -8.2% 9.1% 

Efficiency ratio (excl. changes in fair value) 69.7% 44.7% 

Core Tier 1 ratio 11.7% 12.8% 

BIS ratio 12.6% 15.3% 

Profit analysis 

Net profit including fair value result for 2011 amounted to a loss of EUR 42 million, due to a negative fair value result of 

EUR 65 million, which also explains the decline of the net profit by EUR 88 million compared to 2010. As such, the average 

return on equity decreased from 9,1% to -/- 8,2%. 

14

The fair value result was negatively affected among others by the changes in the EUR/USD basis spread (from 40 to 78 basis 

points) and by the unwinding of certain derivatives in line with the de-risking policy of the Bank. Meanwhile, in the course of 

2011 the Bank improved the hedge accounting methodology in order to reduce the volatility of the fair value results in the years 

ahead. The fair value result is an accounting loss that is compensated by fair value profits in other reporting periods as the 

underlying derivatives approaches maturity, which is referred to as ‘Pull to Par’. Furthermore, the 2011 result included a one-off 

loss of EUR 12 million due to the partial early repayment of the state guaranteed loan due in 2014. 

The interest margin decreased by EUR 34 million compared to 2010. The decrease was partly attributable to a decline of the 

mortgage portfolio by EUR 700 million in line with the de-risking strategy. Furthermore, the increase in the cost of refinancing 

the Bank funding caused net interest income to decline by EUR 16 million, whereas the gradual rise in short term interest rates 

throughout much of the year caused the net interest margin to fall by a further EUR 10 million, compared to 2010. 

In 2011 the Bank completed several initiatives regarding the de-risking of the balance sheet. Among others, the Bank partially 

redeemed the state guaranteed loan due in 2014 and some of its derivatives positions. As a result of these special items, the 

interest margin decreased by EUR 4 million. 

Excluding the impact of special items described above, the underlying interest margin of the mortgage portfolio showed an 

upward trend as the margins on new and repriced mortgages continued to improve. 

Last but not least, continued focus on cost reduction resulted in decreased operational expenses compared to 2010. The quality 

of the credit portfolio remained very strong as reflected in the lower level of impairment on financial instruments and other 

assets. The overall quality of our credit portfolio is evidenced by excellent payment performance and a favourable trend in non 

performing loans. The number of outstanding non performing loans (debtors) decreased by 15%. The additions to the provision 

for bad debt amounted to as little as 4 basis points during 2011. 

Despite the difficult market circumstances, we were able to realise a positive operating result of EUR 10 million. 

Rating 

In December 2011 credit rating agency Standard & Poor’s (S&P) raised Achmea Hypotheekbank’s rating from A- (stable 

outlook) to A (stable outlook) for debt securities with a maturity of more than one year issued directly by the Bank. S&P adds 

that the new rating reflects Achmea Hypotheekbank’s strong capital position and adequate risk and liquidity position. The rating 

of notes with a maturity of less than one year (European Commercial Paper Programme) was raised from A-2 to A-1. 

Fitch Ratings (Fitch) has assigned Achmea Hypotheekbank an A- long term issuer default rating (stable outlook since June 

2011) and an F2 Short Term Issuer default rating. 

In 2011 Achmea Hypotheekbank moved from ‘s-Hertogenbosch to Tilburg. During this process the Executive Board has worked 

closely together with the work’s council in good atmosphere. The Executive Board would like to take this opportunity to thank 

the staff of Achmea Hypotheekbank for their commitment during 2011. 

Outlook 

Given the ongoing improvement of capital markets, the executive board of Achmea Hypotheekbank is confident that the 

financing needs for the coming years can be met. In light of the inherent uncertainty, the Executive Board prefers not to make 

specific predictions regarding the financial performance in 2012. 

Tilburg, 7 March 2012 

The Executive Board, 

M. G. van Ee, Chief Executive Officer 

M. Wissels, Director of Finance and Risk 


15

16 

‘Excellent payment performance 

was evidence to the excellent 

quality of the mortgage portfolio’

Implementation of and Compliance with 

the Banking Code 

Achmea Bank is largely in compliance with the Banking Code. 

In 2011, Achmea Bank has not yet fully applied three norms from the Banking Code: 

• Customer interest (‘Klantbelang Centraal’) (principle 3.2.2.); 

• Translation from the Moral-ethical statements of the Board of Directors to personnel (principle 3.2.4.); and 

• Measuring performance corrected for risk (principle 6.4.4.). 

On customer interest, Achmea Bank took important steps in 2011. Further development of measures such as a Framework 

for propositions, a product development process that checks products for customer interest and a product approval process 

will be further elaborated in 2012. Moral-ethical statements were incorporated in labour contracts for (new) employees from 

September 2011. These principles will be further elaborated in 2012. As to performance corrected for estimated risk awards made 

in any given year relate to the previous year pay-outs in 2011 over 2010 were not fully in line with the norm. This has since been 

adjusted and awards over 2011 paid out in 2012 will be in full compliance. 

For full details on the Banking Code and Achmea Hypotheekbank’s compliance, see our website www.achmeahypotheekbank.com. 


17


financial statements 2011 


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Consolidated statement of financial position 

For the year ended 31 December 

(before profit appropriation) 

In thousands of euros Note 2011 2010 

Assets 

Cash and cash equivalents 5 390,652 128,707 

Derivative assets held for risk management 6 813,533 710,469 

Loans and advances to banks 7 1,208,906 898,545 

Loans and advances to public sector 8 110,777 686,325 

Loans and advances to customers 9 13,187,031 13,477,437 

Interest-bearing securities 10 153,203 129,781 

Current tax assets 18 57,986 20,538 

Deferred tax assets 17 476 508 

Prepayments and other receivables 11 22,985 22,514 

Total assets 15,945,549 16,074,824 

Liabilities 

Derivative liabilities held for risk management 6 1,187,446 796,198 

Deposits from banks 12 2,737,437 1,813,970 

Funds entrusted 13 1,066,223 1,271,571 

Debt securities issued 14 10,213,471 11,361,098 

Deferred tax liabilities 17 67,158 23,657 

Accruals and other liabilities 16 77,377 103,862 

Subordinated liabilities 15 107,775 175,012 

Total liabilities 15,456,887 15,545,368 

Share capital 18,152 18,152 

Share premium 269,206 269,206 

Reserves 201,304 242,098 

Shareholders’ equity 19 488,662 529,456 

Total equity and liabilities 15,945,549 16,074,824 

20

Consolidated statement of comprehensive income 


In thousands of euros Note 2011 2010 

Interest income 20 647,938 686,361 

Interest expenses 20 592,909 597,066 

Interest margin 20 55,029 89,295 

Changes in fair value of financial instruments 20 -65,141 23,024 

Interest margin and changes in fair value of financial instruments 20 -10,112 112,319 

Fees and commission expenses 21 3,733 3,608 

Fee and commission 3,733 3,608 

Operating income -13,845 108,711 

Impairment on financial instruments and other assets 9 5,810 9,194 

Operating expenses 22 35,733 37,941 

Profit before income taxes -55,388 61,576 

Income tax expenses 25 -13,847 15,249 

Net profit -41,541 46,327 

Other comprehensive income, net of income tax 

Fair value reserve (available-for-sale financial assets): 

Net change in fair value 747 -1,244 

Other comprehensive income for the period, net of income tax 747 -1,244 

Total comprehensive income for the period -40,794 45,083 

Net profit attributable to: 

Shareholders’ equity -41,541 46,327 

Net profit for the period -41,541 46,327 

Total comprehensive income attributable to: 

Shareholders’ equity -40,794 45,083 

Total comprehensive income for the period -40,794 45,083 


21

consolidated statement of changes in equity 

In thousands of euros Share Share Fair value Retained Reserves Total 

capital premium reserve earnings equity 

Balance as at 1 January 2011 18,152 269,206 1,504 46,327 194,267 529,456 

Total comprehensive income for the period 

Net profit or loss - - - -41,541 - -41,541 



Net change in fair value - - 747 - - 747 

Total comprehensive income for the period - - 747 -41,541 - -40,794 

Transactions with owners, recognised directly in equity 

Contributions by and distributions to owners 

Distribution of profit 2010 - - - -46,327 46,327 - 

Total contributions by and distributions to owners - - - -46,327 46,327 - 

Balance as at 31 December 2011 18,152 269,206 2,251 -41,541 240,594 488,662 

In thousands of euros Share Share Fair value Retained Reserves Total 

capital premium reserve earnings equity 

Balance as at 1 January 2010 18,152 269,206 2,748 50,111 144,156 484,373 

Total comprehensive income for the period 

Net profit or loss - - - 46,327 - 46,327 



Net change in fair value - - -1,244 - - -1,244 

Total comprehensive income for the period - - -1,244 46,327 - 45,083 



Distribution of profit 2009 - - - -50,111 50,111 - 


Balance as at 31 December 2010 18,152 269,206 1,504 46,327 194,267 529,456 

22

consolidated statement of cash flows 



Cash flow from operating activities 

Net profit -41,541 46,327 

Adjustments for: 

Depreciation - 2 

Impairment on financial instruments and other assets 5,810 9,194 

Net interest income -55,029 -89,295 

Changes in tax assets and liabilities 249 439 

Changes in fair value of financial instruments 65,141 -23,024 

Changes in other non-cash items -473,905 165,745 

Income tax expense -13,847 15,249 

-513,122 -124,637 

Changes in: 

Loans and advances to banks -390,232 22,881 

Loans and advances to public sector 575,499 -474,999 

Loans and advances to customers 501,252 707,680 

Derivatives held for risk management 304,399 -204,815 

Prepayments and other receivables -462 -19,308 

Deposits from banks 916,236 532,781 

Funds entrusted -202,165 37,471 

Accruals and other liabilities -25,802 -16,867 

Interest received 643,604 689,952 

Interest paid -522,568 -581,509 

Income tax received 19,684 - 

Income tax paid - -33,257 

1,819,444 660,010 

Net cash flow from operating activities (1) 1,306,322 784,647 

Cash flow from investing activities 

Interest-bearing securities -24,988 -44,300 

Net cash flow from investing activities (2) -24,988 -44,300 

Cash flow from financing activities 

Debt securities issued -1,032,331 -868,108 

Subordinated liabilities -67,328 -6,250 

Net cash flow from financing activities (3) -1,099,659 -874,358 

Net cash flow (1) + (2) + (3) 181,675 -134,011 


23

Continued on Consolidated statement of cash flows 



Cash and cash equivalents as at 1 January 128,707 68,750 

Cash and cash equivalents as at 31 December 390,652 128,707 

261,945 59,957 

Movements in bank overdrafts -80,270 -193,968 

Movements in cash and cash equivalents 181,675 -134,011 

The consolidated statement of cash flow is prepared in accordance with the indirect method, with a distinction being made 

between cash flows from operating, investing and financing activities. Cash flows in foreign currencies are converted at spot 

rate. For the net cash flows from operating activities, the net profit is adjusted for non cash items. 

24

Notes to the consolidated financial statements 

1. General information 

Achmea Hypotheekbank N.V. (Achmea Hypotheekbank) is situated in Tilburg (the Netherlands) with its registered office in 

The Hague (the Netherlands). 

Achmea Hypotheekbank provides residential mortgage loans to private customers resident in the Netherlands. 

The consolidated financial statements of Achmea Hypotheekbank for 2011 comprise the financial statements of all group 

companies in which Achmea Hypotheekbank has a controlling interest. 

Achmea Hypotheekbank is a wholly-owned subsidiary of Achmea Bank Holding N.V. 

Achmea Bank Holding N.V. is part of Achmea B.V. (Achmea Group). 

The Achmea Hypotheekbank Consolidated Financial Statements for the year ended 31 December 2011 were authorised for 

issue in accordance with a resolution of the Executive Board on 7 March 2012. 

2. Summary of significant accounting policies 

The accounting policies set out below have been applied uniformly for all periods presented in these consolidated financial 

statements and by all group entities. 

The consolidated financial statements are presented in euros, which is the parent company’s functional currency. 

2.1 Prior period adjustments 

In 2011 the presentation of the deposits with central banks have been adjusted and are included under Cash and cash 

equivalents, instead of under Loans and advances to public sector, as in 2010. The comparative figures have also been adjusted 

for this, as well as the consolidated statement of cash flows. The total amount of the deposits with central banks amounts to 

EUR 385 million (2010: EUR 120 million). 

2.2 Basis of presentation 

The Achmea Hypotheekbank Consolidated Financial Statements 2011, including the 2010 comparative figures, have been 

prepared in accordance with the International Financial Reporting Standards - including International Accounting Standards 

(IAS) and Interpretations - as at 31 December 2011 and as adopted by the European Union (hereafter EU and EU-IFRS). 

Furthermore, the Achmea Hypotheekbank Consolidated Financial Statements comply with the requirements of Article 362 (9) 

Book 2, part 9 of the Dutch Civil Code. 

The exemption pursuant to Article 402 Book 2, part 9 of the Dutch Civil Code, applies to the Company Income Statement of 



25

Initial application of accounting policies 

The following amendments and revisions to standards have been adopted by Achmea Hypotheekbank as of 1 January 2011 but 

have no material impact on Net profit or Total equity. 

Standard 

IAS 32 

Title 

Financial Instruments: 

Presentation - Amendments relating to 

classification of rights issues 

Main Changes 

The amendment allows entities to classify rights 

issues for a fixed amount of foreign currency as part 

of Total equity 

IAS 24 

Related Party Disclosures - Revised 

definition of related parties 

The amendments clarify the definition of a related 

party and a related party transaction and exempt 

state-controlled entities to refrain from disclosure of 

certain related party transactions 

IAS 19 & IFRIC 14 

The Limit on a Defined Benefit Asset, 

Minimum Funding Requirements and their 

Interaction - November 2009 Amendments 

with respect to voluntary prepaid 

contributions 

The amendments correct an unintended 

consequence of IFRIC 14 that in some circumstances 

entities are not permitted to recognise certain 

voluntary prepayments for minimum funding 

contributions as an asset. Furthermore the definition 

and recognition criteria of termination benefits have 

been amended 

IFRIC 19 

Extinguishing Financial Liabilities with 

Equity Instruments 

The interpretation provides guidance on how to 

account for the extinguishment of a financial liability 

by the issue of equity instruments 

Annual improvements 

In May 2010, the IASB issued 

‘Improvements to IFRSs’, a collection of 

minor amendments to a number of IFRSs. 

The IASB uses the annual improvements 

project to make necessary, but non-urgent 

amendments to IFRSs 

Various improvements to various standards 

Accounting policies not applied 

A number of new Standards, amendments to Standards and Interpretations were published by the International Accounting 

Standard Board (IASB) in 2011 or prior years but are not yet effective for the year ended 31 December 2011, and have not been 

applied in preparing these Consolidated Financial Statements. 

These are: 

IFRS 7 Financial Instruments: Disclosure (amendment) 

The IASB has issued an amendment to IFRS 7 at the end of 2010. At the present time this improvement has not been endorsed 

by the EU, therefore Achmea Hypotheekbank cannot apply this amendment. The amendment is applicable to all transferred 

financial assets that are not derecognised and for any continuing involvement in a transferred asset. The amendments aim 

to improve the understanding of users of financial statements of transactions that transfer risks (for example securisations). 

26

The amendments also require additional disclosures if a disproportionate amount of securitsation or other assets backed 

securities are undertaken near the end of a reporting period. If endorsed by the EU, Achmea Hypotheekbank will apply these 

amendments as of 1 January 2012. 

IFRS 9 Financial Instruments 

The IASB issued a new standard on the accounting of Financial Instruments. The standard issued on 12 November 2009 covers 

the recognition and measurement of financial assets. On 28 October 2010 the IASB issued guidance on the recognition and 

measurement of financial liabilities. Entities are required to apply the standard for reporting periods beginning on or after 

1 January 2015. The EU has postponed the endorsement of IFRS 9. When Achmea Hypotheekbank adopts IFRS 9 it may have 

material impact on the presentation of financial assets in the Financial Statements as the current classifications of IAS 

39 will disappear. It could have a significant impact on the measurement and accounting of fair value changes of Achmea 

Hypotheekbanks financial assets as the ´Available for sale´-category will be removed and, in certain cases, the standard 

requires the use of amortised cost. For financial liabilities the existing amortised cost measurement for most liabilities will be 

continued in its current form. 

An entity choosing to measure a liability at fair value will present the portion of the change in its fair value due to changes in 

the entity’s own credit risk in other comprehensive income. Total equity and Net profit will be materially affected due to the 

changes in measurement requirements for the Financial Instruments. 

IFRS 10 Consolidated Financial Statements 

The IASB has issued IFRS 10 on 12 May 2011. The standard was developed as part of the IASB improvement process on the 

accounting of off balance sheet activities and joint arrangements. IFRS 10 supersedes IAS 27 ‘Consolidated and Separate 

Financial Statements’ and SIC-12 ‘Consolidation - Special Purpose Entities’, and will be applicable for reporting periods 

beginning on or after 1 January 2013. At present, this standard has not been endorsed by the EU and therefore Achmea 

Hypotheekbank cannot apply this standard. IFRS 10 defines the principle of control and establishes control as the sole basis 

for determining which entities are to be consolidated in the financial statements. The standard also sets out requirements 

on how to apply the control principle. The standard is expected to have limited impact on the group of entities that need to be 

consolidated in Achmea Hypotheekbank’s Financial Statements and will have limited impact on Total equity and Net profit. 

IFRS 11 Joint Arrangements 


accounting of off balance sheet activities and joint arrangements. IFRS 11 supersedes IAS 31 ‘Interest in Joint Ventures’ and 

SIC-13 Jointly Controlled Entities - Non-Monetary Contributions by Venturers’, and will be applicable from 1 January 2013. 

At present, this standard has not been endorsed by the EU and therefore Achmea Hypotheekbank cannot apply this standard. 

IFRS 11 focuses on the rights and obligations of arrangements rather than it’s their legal form (as currently is the case). 

Furthermore, the standard limits the accounting method for interests in jointly controlled entities to a single method: the 

equity method as described in the reissued IAS 28 (rather than the proportionate consolidation method). These amendments 

will have a limited impact on the presentation of joint ventures in which Achmea Hypotheekbank is involved. The standard will 

have no impact on Total equity and Net profit. 

IFRS 1 Disclosure of Interests in Other Entities 


accounting of off balance sheet activities and joint arrangements. IFRS 12 will be applicable for reporting periods beginning 

on or after 1 January 2013. At present, this standard has not been endorsed by the EU and therefore Achmea Hypotheekbank 

cannot apply IFRS 12. IFRS 12 is applicable to entities that have an interest in a subsidiary, a joint arrangement, an associate 

or an unconsolidated structured entity. The standard sets objectives according to which an entity discloses information. 


27

This standard will have no material impact on the presentation of Achmea Hypotheekbank’s interests in joint arrangements, 

associates or unconsolidated entities. The standard will have no impact on Total equity and Net profit. 

IFRS 13 Fair Value Measurement 

On 12 May 2011 the IASB issued IFRS 13 which defines fair value and sets out a single framework for measuring fair value. 

Furthermore, the standard describes disclosure requirements. The standard applies to all standards that require or permit 

fair value measurements or disclosures about fair value (except in specified circumstances). The standard is applicable 

to reporting periods beginning on or after 1 January 2013. At present, this standard has not been endorsed by the EU and 

therefore Achmea Hypotheekbank cannot apply this standard. The standard will have limited impact on the way Achmea 

Hypotheekbank measures the fair value of its assets and liabilities and will have limited impact on Total equity and Net profit. 

IAS 1Presentation of Financial Statements (amendment) 

On 16 June 2011 the IASB issued an amendement that changes and aligns the presentation of items of Other Comprehensive 

Income. The amendment requires presentation of items of Net Other Comprehensive Income that may be recycled through Net 

profit as a single item. The amendment does not clarify which items have to be recycled through profit or loss. 

At present, the amendments have not been endorsed by the EU and therefore Achmea Hypotheekbank cannot apply this 

standard. These amendments will not have an impact on Total equity and Net profit. 

IAS 12 Deferred Tax: Recovery of Underlying Assets (amendment) 

On 20 December 2010 the IASB issued amendments to IAS 12. The amendments provide an exception to the general principles 

of IAS 12 which require the measurement of deferred tax assets and liabilities to reflect the tax consequences that would 

follow from the manner in which the entity expects to recover the carrying amount of an asset. It introduces the rebuttable 

presumption for investment property measured using the fair value model in IAS 40 ‘Investment Property’ that the recovery of 

the carrying amount will be through sale. These amendments are applicable for reporting periods beginning on or after 

1 January 2012. However, at present the amendments have not been endorsed by the EU and therefore Achmea Hypotheekbank 

cannot apply these amendments. The amendments will have limited impact on Total equity and Net profit. 

IAS 27 Reissued as IAS 27 Separate Financial Statements 

On 12 May 2011 the IASB reissued IAS 27. The revised IAS 27 contains accounting and disclosure requirements only for 

investments in subsidiaries, joint ventures and associates. The standard is effective for annual periods beginning on or after 

1 January 2013 but has not been endorsed by the EU at this time and Achmea Hypotheekbank therefore cannot apply the 

revised standard. The standard will have no impact on Achmea Hypotheekbanks company financial statements as Achmea 

Hypotheekbank applies the Dutch law, regarding the exemption for accounting for subsidiaries, joint ventures and associates in 

the separate financial statements. 

IAS 28 Reissued as IAS 28 Investments in Associates and Joint Ventures 

On 12 May 2011 the IASB has reissued IAS 28. The revised IAS 28 prescribes the accounting for investments in associates and 

sets out the requirements for the application of the equity method when accounting for investments in associates and joint 

ventures. The standard is effective for reporting periods beginning on or after 1 January 2013 but has not been endorsed by 

the EU at this time and therefore Achmea Hypotheekbank cannot apply this revised standard. The revised standard will have a 

limited impact on the presentation of the joint ventures in which Achmea Hypotheekbank is involved. The revised standard will 

have no impact on Total equity and Net profit. 

IAS 32 Offsetting financial assets and financial liabilities (amendment) 

On 16 December 2011 the IASB issued an amendment to IAS 32 that clarifies the requirements for offsetting financial 

28

instruments. The amendments address inconsistencies in current practice when applying the offsetting criteria in IAS 32 

Financial Instruments: Presentation. The amendments clarify the meaning of ‘currently has a legally enforceable right of 

set-off’ and that some gross settlement systems may be considered equivalent to net settlement. The amendments are 

effective for reporting periods beginning on or after 1 January 2014 but have not been endorsed by the EU at this time and 

Achmea therefore cannot apply these amendments. These amendments are expected to have a limited impact on Achmea as 

no different offsetting decisions are expected to be made. The amendments will have no impact on Net profit and Total equity 

of Achmea Hypotheekbank. 

Other 

On 20 December 2010 the IASB issued additional exemptions for first time adopters (amendments to IFRS 1). As Achmea 

Hypotheekbank already applies EU-IFRS, the amendments are not applicable to Achmea Hypotheekbank and will have no 

effect on the Achmea Hypotheekbank’s Financial Statements. On 19 October 2011 the IASB issued IFRIC 20 Stripping Costs in 

the Production Phase of a Surface Mine. The Interpretation clarifies when production stripping should lead to the recognition 

of an asset and how that asset should be measured, both initially and in subsequent periods. The Interpretation is effective 

for reporting periods beginning on or after 1 January 2013 with earlier application permitted, but has not been endorsed by the 

EU at this time. This interpretation is not applicable to Achmea Hypotheekbank and will have no impact on Net profit and Total 

equity of Achmea Hypotheekbank. 

2.3 Basis of consolidation 

Companies over which Achmea Hypotheekbank has control are fully consolidated. Control is the power to govern the financial 

and operating policies of an entity, whether directly or indirectly, to benefit from its activities. In deciding whether the bank has 

control, the potential voting rights that are exercisable or convertible at that moment are taken into account. 

The consolidated financial statements of Achmea Hypotheekbank also include the financial statements of the following companies: 

• DMPL I B.V.* (shares are held bij Stichting DMPL I Holding*) 

• DMPL II B.V.* (shares are held bij Stichting DMPL II Holding*) 

• DMPL III B.V.* (shares are held bij Stichting DMPL III Holding*) 

• DMPL IV B.V.* (shares are held bij Stichting DMPL IV Holding*)**) 

• DMPL V B.V.* (shares are held bij Stichting DMPL V Holding*) 

• DMPL VI B.V.* (shares are held bij Stichting DMPL VI Holding*) 

• DMPL VII B.V.* (shares are held bij Stichting DMPL VII Holding*)**) 

• DMPL VIII B.V.* (shares are held bij Stichting DMPL VIII Holding*) 

• DMPL IX B.V.* (shares are held bij Stichting DMPL IX Holding*) 

• SGML I B.V.* (shares are held bij Stichting SGML I Holding*) 

• SGML II B.V.* (shares are held bij Stichting SGML II Holding*) 

• Stichting Incasso Achmea Hypotheken 

• Achmea Covered Bond Company B.V. 

* All have their registered offices in Amsterdam 

** Called in 2011 

These companies (with the exception of Stichting Incasso Achmea Hypotheken and Achmea Covered Bond Company B.V.) are 

companies set up by Achmea Hypotheekbank for securitisation purposes of mortgage residential loans. 

In addition, Achmea Hypotheekbank has a covered bond financing programme. Achmea Hypotheekbank manages and 


29

administers the portfolios of Achmea Covered Bond Company B.V. The shares of Achmea Covered Bond Company B.V. are held 

by Stichting Holding Achmea Covered Bond Company with its registered office in Amsterdam. 

The Stichting Incasso Achmea Hypotheken has been set up to collect and distribute mortgage receivables to Achmea 

Hypotheekbank and related group companies. 

Although Achmea Hypotheekbank has no direct control over the above mentioned companies, these entities are consolidated 

based on an evaluation of the substance of its relationship with Achmea Hypotheekbank and the entities risks and rewards. 

The following circumstances may indicate a relationship in which, in substance, Achmea Hypotheekbank controls and 

consequently consolidates an entity: 

• The entity conducts its activities to meet Achmea Hypotheekbank’s specific needs; 

• Achmea Hypotheekbank has decision-making powers to obtain the majority of the benefits of the entities activities; 

• Achmea Hypotheekbank is able to obtain the majority of the benefits of the entities activities through an ‘auto-pilot’ 

mechanism; 

• By having a right to the majority of the entities benefits, Achmea Hypotheekbank is exposed to the entities business risks; 

• The entity has the majority of residual interest in the SPV. 

Elimination of intragroup transactions and accounts 

Intragroup accounts and any unrealised gains and losses on transactions within the Group or income and expenses from such 

transactions are eliminated from the consolidated financial statements. 

Related-party disclosures 

Any operations and transactions relating to group companies are specifically disclosed in the notes. All transactions with group 

companies are subject to market conditions. 

2.4 Segment information 

In the internal reports used by the Executive Board to allocate resources and monitor performance targets, Achmea 

Hypotheekbank is regarded as one single operating segment. 

2.5 Recognition and derecognition 

An asset is recognised on the consolidated statement of financial position when it is probable that the future economic 

benefits will flow to Achmea Hypotheekbank and the asset has a cost or value that can be measured reliably. A liability is 

recognised on the consolidated statement of financial position when it is probable that an outflow of resources embodying 

economic benefits will result from the settlement of a present obligation and the amount at which the settlement will take 

place can be measured reliably. 

Financial assets (or parts of a financial assets) are derecognised when the contractual right to receive cash flows from 

the financial assets have expired or where Achmea Hypotheekbank has transferred substantially all risks and rewards of 

ownership. If Achmea Hypotheekbank neither transfers nor retains substantially all the risks and rewards of ownership of a 

financial asset, it derecognises the financial asset if it no longer has control over the asset. In transfers where control over the 

asset is retained, Achmea Hypotheekbank continues to recognise the asset to the extent of its continuing involvement. 

The extent of continuing involvement is determined by the extent to which Achmea Hypotheekbank is exposed to changes in 

the value of the asset. 

30

A financial liability (or part of financial liabilities) is derecognised from the balance sheet when, and only when it is 

extinguished (i.e. when the obligation specified in the contract is discharged or cancelled or expired). On derecognition, the 

difference between the disposal proceeds and the carrying amount is recognised in the statement of comprehensive income as 

a realised gain or loss. Any cumulative unrealized gain or loss previously recognised in shareholders’ equity is transferred from 

shareholders’ equity to the statement of comprehensive income. 

2.6 Use of estimates and assumptions 

The preparation of the financial statements in accordance with IFRS requires judgements by management. Management makes 

estimates and assumptions affecting the application of accounting policies and the reported amounts of assets and liabilities 

and of income and expenses. These estimates and assumptions are based on historical data and various other factors that are 

considered reasonable in the circumstances. The results of this process form the basis for judgements regarding the carrying 

amounts of assets and liabilities where the carrying amount cannot be derived from other sources. The actual figures may 

differ from these estimates. 

The estimates and underlying assumptions are continually evaluated. The effects of the revisions of estimates are recognised 

in the year in which the revision takes place. 

Any assumptions made by management in the application of IFRS which have a significant impact on the financial results of 

current or future years are disclosed in the relevant notes. 

2.7 Offsetting of financial instruments 

Financial assets and liabilities are netted in the consolidated statement of financial position if Achmea Hypotheekbank: 

• has a legally enforceable right to set off the asset and the liability, and 

• intends either to settle on a net basis or to realise the asset and settle the liability simultaneously. 

2.8 Foreign currency 

Monetary assets and liabilities in foreign currencies are translated into euros at the rate of exchange prevailing on the balance 

sheet date. The resulting translation gains or losses are recognised in the income statement. Unrealised gains and losses 

are recognised in the income statement. Income and expenses as well as non-monetary assets and liabilities arising from 

transactions in foreign currencies are converted at the exchange rate on the transaction date. 

2.9 Amortised cost and fair value measurement 

Amortised cost measurement 

The amortised cost of a financial asset or liability is the amount at which the financial asset or liability is measured at initial 

recognition, minus principal repayments, plus or minus the cumulative amortisation using the effective interest method of any 

difference between the initial amount recognised and the maturity amount, minus any reduction for impairment. 

Fair value measurement 

Fair value is the amount for which an asset could be exchanged, or a liability settled, between knowledgeable, willing parties in 

an at arm’s length transaction on the measurement date. 

When available, Achmea Hypotheekbank measures the fair value of an instrument using quoted prices in an active market for 


31

that instrument. A market is regarded as active if quoted prices are readily and regularly available and represent actual and 

regularly occurring market transactions on an arm’s length basis. 

If a market for a financial instrument is not active, Achmea Hypotheekbank calculates fair values using valuation techniques. 

Valuation techniques include using recent arm’s length transactions between knowledgeable, willing parties (if available), 

references to the current value of other instruments that are substantially the same and discounted cash flow analyses. 

The chosen valuation technique makes maximum use of market inputs, relies as little as possible on estimates specific to 

Achmea Hypotheekbank, incorporates all factors that market participants would consider in setting a price, and is consistent 

with accepted economic methodologies for pricing financial instruments. Inputs to valuation techniques reasonably represent 

market expectations and measures of the risk-return factors inherent in the financial instrument. Achmea Hypotheekbank 

calibrates valuation techniques and validates them for validity using prices from observable current market transactions in the 

same instrument or based on other available observable market data. 

2.10 Financial assets and financial liabilities 

Achmea Hypotheekbank divides its financial assets into the following categories: ‘loans and receivables’, ‘financial assets at 

fair value through profit or loss’ and ‘available-for-sale financial assets’. 

When Achmea Hypotheekbank becomes a party to the contractual provision of a financial instrument, Achmea Hypotheekbank 

initially recognises the instrument at the fair value including transaction costs that are directly attributable to its acquisition 

(unless it is classified as ‘at fair value through profit or loss’). 

(a) Loans and receivables 

Loans and receivables are financial instruments, other than derivatives, with fixed or determinable payments and not listed 

on an active market. These receivables arise when Achmea Hypotheekbank lends funds or provides services directly to a 

debtor without the intention to trade the receivables. The Loans and advances to customers, which fall into this category at 

Achmea Hypotheekbank, consist entirely of loans granted in exchange for mortgage security. These mortgage loans are carried 

at amortised cost measured using the effective-interest method. The portfolio of Interpolis BTL Hypotheken B.V., acquired in 

2006, is carried at fair value. Loans and advances to banks and to public sector which fall into this category are measured at 

amortised cost using the effective-interest method. 

(b) Financial assets at fair value through profit or loss 

This category comprises two subcategories, i.e. ‘financial assets held for trading’ and financial assets designated by the 

management as ‘at fair value through profit or loss’ on initial recognition. A financial asset is classified in the first category if it 

is acquired primarily for the purpose of being traded in the short term and it is classified in the second category if the asset is 

designated as such by the management on initial recognition. Derivative financial instruments are classified as held for trading 

unless they are recognised in a hedge relationship. Derivatives with a negative fair value are classified as financial liabilities 

and are presented separately on the consolidated statement of financial position. 

(c) Available-for-sale financial assets 

Financial assets classified as ‘available for sale’ are investments that have been acquired in order to be held until its maturity but 

which may be sold to meet liquidity requirements or because of fluctuations in the interest rate, exchange rates or share prices. 

Purchases and sales of financial assets at fair value through profit or loss (b) and available-for-sale financial assets (c) are 

recognised on the transaction date (the date on which Achmea Hypotheekbank commits to buy or sell the asset). Loans and 

advances are recognised when funds are granted to borrowers. 

32

After their initial recognition, available-for-sale financial assets (c) and financial assets at fair value through profit or loss 

(b) are carried at fair value. Gains and losses on the financial assets at fair value through profit or loss are recognised in the 

statement of comprehensive income in the period in which these changes occur. Gains and losses on the ‘available-for-sale 

assets’ are recognised directly in shareholders’ equity (line item fair value reserve) until a financial asset is derecognised or 

suffers impairment. At that moment, the cumulative gain or loss is transferred from shareholders’ equity to the statement 

of comprehensive income. The interest income, calculated using the effective-interest method, is recognised directly in 

the statement of comprehensive income. Dividends on equity instruments that are available for sale are recognised in the 

statement of comprehensive income from the moment at which the entity acquires the right to receive payment. 

Financial liabilities are initially recognised at fair value. Subsequently financial liabilities are valued at amortised cost using 

the effective-interest method. Achmea Hypotheekbank initially recognises debt securities issued and subordinated liabilities 

on the date that they are originated. All other financial liabilities (including liabilities designated at fair value through profit 

or loss) are recognised initially on the trade date, which is the date that Achmea Hypotheekbank becomes a party to the 

contractual provisions of the instrument. Achmea Hypotheekbank derecognises a financial liability when its contractual 

obligations are discharged, cancelled or when they expire. 

2.11 Impairment of financial assets measured at amortised cost 

General 

Achmea Hypotheekbank distinguishes between specific impairment losses and impairment relating to incurred but not 

reported losses (IBNR). 

Under IFRS, recognition of an impairment loss is required if it is probable that Achmea Hypotheekbank will not be able to 

collect the principal amount and the interest in accordance with a loan agreement. The impairment is determined item by item 

for loans that are individually material. This is referred to as specific impairment. 

Specific impairment 

Achmea Hypotheekbank conducts regular assessments to establish whether there is any objective evidence of impairment of 

a financial asset or group of financial assets. A financial asset is impaired and is treated accordingly if, and only if, there are 

objective indications of impairment. This is the case when: 

• a ‘loss’ event has occurred after initial recognition of the asset (loss event); 

• this loss event has a negative impact on the estimated future cash flows of the financial asset; 

• these cash flows can be reliably estimated. 

If there is objective evidence that assets measured at amortised cost have been subject to impairment, the loss is calculated 

as the difference between the carrying amount of the asset and the present value of the estimated future cash flows (excluding 

future loan losses that have not yet been incurred), discounted at the original effective interest rate of the financial asset. 

If the asset has a variable interest rate, the discount rate used to measure an impairment loss is the current effective interest 

rate determined under the contract. The impairment loss is recognised in the statement of comprehensive income. The amount 

of the recognised impairment takes account of the fact that the payment arrears on accounts placed in default management 

may ultimately be settled, either in whole or in part. This ‘recovery ratio’ was adjusted at the end of 2011 based on updated 

historical recovery data. 

Incurred but not reported (IBNR) 

IFRS also requires any losses resulting from events that have occurred before the balance sheet date, but which have not yet 

manifested themselves, to be taken into account as well. These are known as IBNR losses. 


33

A general IBNR impairment loss is calculated using the average inflow into the credit management portfolio combined with 

empirical figures. Historical loss rates are adjusted on the basis of current observable data in order to take account of the 

impact of current conditions that did not apply in the period to which the historical data relates and to eliminate the impact of 

the conditions in the historical period that do not currently exist. 

Treatment of uncollectible loans and advances in the accounts 

If all or part of a loan proves to be uncollectible, the amount concerned is written off from the corresponding provision for 

impairment losses. Amounts that are in fact subsequently collected are recognised as income. 

2.12 Derivative financial instruments and hedge accounting 

Derivatives are financial instruments in the form of contracts to exchange future cash flows, the value of which depends on 

one or more underlying assets, reference prices or indices. Examples of derivatives are forward exchange contracts, options, 

interest rate swaps, futures and forward rate agreements. Achmea Hypotheekbank executes transactions in derivatives to 

hedge its own interest rate and currency risks. The financial instruments are classified as held for trading and measured at fair 

value. 

Initial recognition of derivatives is at fair value on the date on which a derivative contract is signed. The fair values are derived 

from market prices quoted on active markets, including recent market transactions or, where applicable, determined on the 

basis of valuation methods, including present value models. Derivatives are recognised as assets if their fair value is positive 

and as liabilities if their fair value is negative. 

On initial recognition of a derivative, the transaction price is the best indicator of fair value unless the fair value of the 

instrument is supported by other information about observable current market transactions in the same instrument or is based 

on a valuation method which makes exclusive use of observable markets. 

Achmea Hypotheekbank has designated the majority of its derivatives as fair value hedges of the interest rate risk inherent in 

all or parts of its mortgage portfolio (macro hedge). For the application of fair value hedge accounting, Achmea Hypotheekbank 

documents the relationship between the hedging instruments and the hedged items or positions, as well as the risk 

management objective and strategy at the inception of the transaction. 

Achmea Hypotheekbank also formally records whether the derivatives used in the hedging transactions are effective in 

offsetting changes in the fair value of hedged items, both at the start and for the duration of the hedging relationship. A hedging 

relationship is effective when the effectiveness is prospectively between 95% and 105% and retrospectively between 80% and 

125%. Effectiveness is measured by dividing the change in fair value of the hedging instruments (parts used in the hedging 

relationship) by the change in fair value of the hedged item (based on the risk being hedged). To ascertain the effectiveness, 

Achmea Hypotheekbank performs both prospective and retrospective tests. 

Achmea Hypotheekbank periodically assesses the fair value change in the hedged part of the portfolio of mortgage loans 

attributable to the hedged risk, on the basis of the expected interest reset date. On condition that Achmea Hypotheekbank 

finds the hedge to have been effective according to the method that it uses for determining the effectiveness, it recognises 

the fair value change in the hedged part of the portfolio of mortgage loans as a gain or loss in the statement of comprehensive 

income and in the consolidated statement of financial position item of loans and advances to customers. 

34

Achmea Hypotheekbank measures the change in fair value of the derivatives and recognises it as a gain or loss in the 

statement of comprehensive income. The fair value of the derivatives is recognised in the consolidated statement of financial 

position as an asset or a liability. If there is ineffectiveness, this is expressed in the statement of comprehensive income as the 

difference between the change in fair value of the hedged position and the change in fair value of the hedging instrument. 

The changes in fair value of the derivatives (hedging instruments) are cancelled out by the changes in fair value relating to the 

interest risk of the parts of the mortgage portfolio that are allocated to the derivatives (fair value hedge accounting). 

In accordance with its hedging policy, Achmea Hypotheekbank terminates the hedging relationships at least at the end of each 

reporting period and then defines the new hedging relationships for hedge accounting purposes for the next period. For the 

terminated hedging relationships, Achmea Hypotheekbank starts with the amortisation to the statement of comprehensive 

income of the applicable part of the Loans and advances to customers. This asset is amortised using the effective-interest 

method over the remaining term to maturity of the hedged items. 

In addition Achmea Hypotheekbank has designated part of its derivatives as fair value hedge for the interest rate risk and currency 

risk inherent to parts of its debt securities portfolio (micro hedge). 

2.13 Cash and cash equivalents 

Cash and cash equivalents comprises cash balances as well as call deposits with central banks. Current account overdrafts 

which are repayable on demand and which form an integral part of Achmea Hypotheekbank’s cash management are part of the 

cash and cash equivalents in the statement of cash flows. 

2.14 Interest-bearing securities 

Interest-bearing securities are partly recognised under Deposits from banks, Funds entrusted and Debt securities issued and 

are initially measured at fair value less attributable transaction costs. After initial recognition, interest-bearing securities 

are measured at amortised cost, the difference between cost and redemption value being recognised in the statement of 

comprehensive income using the effective-interest method over the term of the loans (loans and advances). 

2.15 Employee benefits 

All staff are employed by Achmea Personeel B.V., an operating company of Achmea B.V. The staff costs relating to the company’s 

activities along with other operating expenses are charged to Achmea Hypotheekbank. 

The pension obligations forming part of the employee benefits are also administrated by Achmea Personeel B.V., which has 

insured its benefit obligations with Achmea Pensioen- en Levensverzekeringen N.V. The related benefit expense is allocated to 

Achmea Hypotheekbank on the basis of the pensionable salaries of active employees. The benefit obligations are measured by 

Achmea Personeel B.V. using the projected unit credit method (based on average pay with annual increases). 

According to this method, the defined benefits are accounted for as separate elements (years) of the ultimate defined benefit 

liability in the form of an annual service cost and measured accordingly. The allocation to individual years takes place on the 

basis of the defined benefits allocated or to be allocated for each completed year of service. The provision is calculated on 

the basis of the number of active years of service up to the balance sheet date, the estimated salary level at the time of the 

expected date of retirement and the market interest rate on the high-quality bonds issued by the Bank, with the amount of any 

plan assets deducted from the recognised liability. 


35

2.16 Tax 

The tax on profit or loss comprises current and deferred tax. Current income tax is recognised in the statement of 

comprehensive income, with tax on direct changes in equity recognised in shareholders’ equity. 

Current tax is the amount of income taxes payable (recoverable) in respect of the taxable profit (tax loss) for a period. 

Deferred tax is recognised to allow for temporary differences between the carrying amounts of assets and liabilities for 

financial reporting purposes and the amounts used for taxation purposes. The deferred tax assets and/or liabilities are based 

on the expected manner in which the carrying amounts of the assets and liabilities will be realised or settled in the future, 

using rates that are fixed or materially enacted on the balance sheet date. A deferred tax asset is only recognised when it is 

probable that taxable profits will be available in the future which can be used for the realisation of the asset. The amount of 

the deferred tax assets will be reduced when it is no longer probable that the related tax benefit will be realised. The most 

important temporary differences at Achmea Hypotheekbank between the reported carrying amounts and the tax bases of the 

items concerned relate to the measurement of derivative financial instruments, loans and advances to customers and deposits 

from banks at fair value and at amortised cost. 

2.17 Prepayments and other receivables 

The prepayments and other receivables are initially measured at fair value. After initial recognition prepayments and other 

receivables are measured at amortised cost using the effective-interest method. 

2.18 Interest income and expenses 

For all instruments measured at amortised cost, interest income and interest expenses are recognised in the statement of 

comprehensive income using the effective-interest method. 

The effective-interest method is a method for the calculation of the amortised cost of a financial asset or a financial liability 

and for the allocation of interest income and expenses to the relevant period. In calculating the effective interest rate, Achmea 

Hypotheekbank estimates the cash flows, taking account of all contractual terms and conditions of the financial instrument (e.g. 

early repayment options) but not future credit losses. In calculating the amortised cost, due account is taken of all fees paid or 

received plus other terms and conditions between contract parties forming an integral part of the effective interest rate, together 

with transaction costs and all other premiums and discounts. 

The amortisation of the fair value change in the fair value hedge is also recognised in interest income and expenses (see also 

note 2.12 Derivative financial instruments and hedge accounting). 

2.19 Commission expenses and management fees 

Sales-related commission on new mortgage business with a term of more than one year paid by Achmea Hypotheekbank to the 

Direct Distribution Division and Intermediary Distribution Division is capitalised and amortised over the estimated remaining 

life of the mortgage loans concerned. All transactions with the Direct Distribution Division and Intermediary Distribution 

Division are subject to market conditions. 

36

3. Financial risk management 

3.1 Introduction 

The Executive Board bears the ultimate responsibility for formulating the Bank’s strategy. An important element of the 

Bank’s strategy is the risk and capital management policy and the resulting Funding and Capitalisation Plan. The Executive 

Board is responsible for the review and approval of this plan. This also means that the Executive Board has the ultimate 

responsibility for the set up and effective operation of the processes that enables Achmea Hypotheekbank to hold sufficient 

capital considering its objectives and the statutory capital adequacy requirements. Within this scope, the Executive Board has 

delegated specific tasks to committees. 

The objective of the Bank’s risk framework is identifying and analyzing risks at an early stage and setting and monitoring 

responsible limits. Adequate internal control procedures and reporting systems, including the application of appropriate limits, 

are key elements in the Bank’s risk management. 

Risk appetite is defined as the level of risk on balance sheet level that Achmea Hypotheekbank is willing to take given the 

Bank’s business objectives. The risk appetite is translated into the maximum decline in capital Achmea Hypotheekbank 

accepts under extreme conditions. With respect to capital, Achmea Hypotheekbank aims to: 

• maintain a sufficient capital level to meet internal and external minimum requirements; 

• be able to cope with the negative effects of stress scenarios; 

• have at least a stable A- credit rating (Standard & Poor’s). 

3.2 Risk governance 

Achmea Hypotheekbank aims to achieve an optimal balance between risk and return. Adequate risk management is key in 

order to support and supervise Achmea Hypotheekbank’s core activities. 

The organization of the risk framework is based on the three lines of defence principle, in which day-to-day responsibility 

for risk control is assigned to the commercial and/or operational departments wherever possible (first line). Compliance 

and Balance Sheet Management & Financial Risk Management form the second line and are responsible for initiating risk 

policy and supervision of risk control within Achmea Hypotheekbank. Internal Audit forms the third line and is responsible for 

performing independent audits on the risk framework. 

The Finance & Risk Committee (FRC), formerly named asset and liability management committee, focuses on the management 

of interest rate risk, counterparty risk, liquidity risks and capital management. The Committee supervises the implementation 

and execution of the capital management policy, the bank’s capital management plan and liquidity plan. In terms of the 

execution of transactions, the Committee supervises compliance with the relevant guidelines, especially relative to the capital 

structure, the capital ratios and the funding. The members of the Executive Board and representatives of Balance Sheet 

Management (Bank and Achmea Group) and Control have a seat on the FRC. 

3.3. Credit risk 

Credit risk is defined as the risk that a counterparty cannot fulfil its obligations to the Bank. 

Loans to private customers 

Achmea Hypotheekbank’s policy on credit risk revolves primarily around counterparty risks associated with lending to private 

customers (residential mortgage loans). Appropriate selection criteria for new clients and active credit risk management for 


37

existing clients safeguard the quality of the loan portfolio. The foreclosure values of the pledged residential properties are 

regularly indexed using data from the Dutch Land Registry Office (Het Kadaster). 

Exceptions to the standard approval terms and conditions for borrowers also require the prior approval of the Bank’s Credit 

Analysis Department. Furthermore, stringent procedures are in place to monitor payment arrears. The accounts of any borrowers 

with arrears of more than three months are transferred to the Bank’s Default Management Department. This department is 

responsible for account management and debt collection. 

Professional counterparties 

The counterparty risk on positions with governments and financial institutions is primarily associated with investment 

activities and cash management. When determining country limits and limits for financial institutions, Achmea Hypotheekbank 

applies a risk mitigation policy that complies with relevant group policy. To manage counterparty risk, Achmea Hypotheekbank 

imposes individual counterparty limits on both exposure and maturity. These limits are approved by the FRC. During 2011 this 

policy has been tightened temporarily due to the uncertain market conditions and is being continued in 2012. 

Furthermore, Achmea Hypotheekbank uses Credit Support Annexes to reduce the exposure to counterparty risk on derivatives. 

No impairments on counterparty positions incurred in 2011. 

Credit quality by financial asset class 

The credit quality of financial assets is managed by Achmea Hypotheekbank using internal credit ratings. The following 

table shows the credit quality by class for all financial assets exposed to credit risk. The credit risk of mortgage loans are 

broken categorised mortgages with a low risk profile (government guaranteed mortgages (Nationale Hypotheekgarantie) and 

securitized mortgages) with average risk profile (all other mortgages receivables and purchased own bonds) and with a high 

risk profile (the part of mortgage receivables above loan to foreclosure value of 75%). This classification is in line with the 

reporting standards of De Nederlandsche Bank (DNB). 

The derivatives assets held for risk management are categorised into derivatives with a low risk profile (counterparty rating of 

AAA, AA+, AA or AA-) and with an average risk profile (counterparty rating of A+, A or A-). This classification is in line with the 

reporting standards of De Nederlandsche Bank (DNB). 

As at 31 December 2011 Low Average High Past due Individually Total 

In thousands of euros risk risk risk but not impaired 

impaired 

Cash and cash equivalents 390,652 - - - - 390,652 

Derivative assets 

held for risk management 13,512 800,021 - - - 813,533 

Loans and advances to banks 1,208,906 - - - - 1,208,906 

Loans and advances to public sector 110,777 - - - - 110,777 

Loans and advances to customers 6,816,398 5,183,099 1,037,729 77,081 72,724 13,187,031 

Interest-bearing securities 153,203 - - - - 153,203 

8,693,448 5,983,120 1,037,729 77,081 72,724 15,864,102 

Aging analyses of past due but not impaired loans 

As at 31 December 2011 Less than 1 < 2 2 < 3 > 3 Total 

In thousands of euros 1 month months months months 

Loans and advances to customers 48,404 18,766 9,911 - 77,081 

38

As at 31 December 2010 Low Average High Past due Individually Total 

In thousands of euros risk risk risk but not impaired 

impaired 

Cash and cash equivalents 128,707 - - - - 128,707 

Derivative assets 

held for risk management - 710,469 - - - 710,469 

Loans and advances to banks 898,545 - - - - 898,545 

Loans and advances to public sector 686,325 - - - - 686,325 

Loans and advances to customers 6,491,476 5,545,553 1,263,977 89,595 86,836 13,477,437 

Interest-bearing securities 129,781 - - - - 129,781 

8,334,834 6,256,022 1,263,977 89,595 86,836 16,031,264 

Aging analyses of past due but not impaired loans 

As at 31 December 2010 Less than 1 < 2 2 < 3 > 3 Total 

In thousands of euros 1 month months months months 

Loans and advances to customers 51,168 25,669 12,758 - 89,595 

The carrying amount of the loans that are past due or impaired is EUR 23 million higher than the value under foreclosure of the 

corresponding mortgaged property for all items in arrears which amounted to EUR 127 million at 31 December 2011 (2010: EUR 

156 million). Please see note 9 for the movement in provisions for impairments in respect of loans and advances to customers. 

3.4 Market risk 

Achmea Hypotheekbank’s market risk exposure mainly consists of interest rate risk arising from its banking operations. 

The main objective of Achmea Hypotheekbank is to generate an interest margin on its mortgage lending operations. Achmea 

Hypotheekbank uses financial instruments to hedge interest rate risk. 

Furthermore, Achmea Hypotheekbank has a strict policy on foreign currency risk. The Balance Sheet Management department 

is responsible for the management of interest rate risks, liquidity risks and currency risks. Transactions on the financial 

markets are executed by Achmea’s central Treasury Department. In the FRC meetings the bank’s risk exposure is discussed 

and, if required, appropriate action is taken. It must be noted that the interest position is managed at the level of Achmea Bank 

Holding. 

Achmea Hypotheekbank does not engage in proprietary trading on the financial markets. 

Interest rate risk 

Interest rate risk is the present or future risk to the net results or to shareholders’ equity due to changes in market interest 

rates. Achmea Hypotheekbank hedges the interest rate risk arising from its mortgage lending and funding operations with 

interest rate derivatives (swaps). 

Interest rate risk is managed from both an income and value perspective: 

1. Effects of a change in interest rates on shareholders’ equity 

2. Effects of a change in interest rates on income statement 


39

Effects of a change in the interest rate on shareholders’ equity 

The impact on shareholders’ equity is based on the market value of all financial instruments. It is not directly visible in 

the income statement or in the consolidated statement of financial position because many instruments are recognised at 

amortised cost. 

Various methodologies are used to monitor the impact on shareholders’ equity: 

• Delta (duration): measures the sensitivity of the market value to a parallel shift of the interest rates by one basis point; 

• Sensitivity analysis: measures the effects of an event that is exceptional, but relevant to the bank. It uses a sudden, parallel 

shift of the interest rate curve by 200 basis points (up and down). The risk of a non-parallel shift can be higher than those 

of a parallel shift. In contrast with the delta method, which only measures the sensitivity to minor interest rate changes, 

sensitivity analysis recalculates the market value of the entire portfolio under the new conditions. This method also takes 

the effects of a secondary and higher order into account. 

• Value at Risk: gives the maximum loss of market value that will not be exceeded with a probability of 99% over a time horizon 

of one year. This is based on historical simulation covering five years of interest rate history. 


Delta -178 -5 

The table above shows that the fair value of the bank’s equity decreases by EUR 0.2 million in case of a one basis point parallel 

upward shift of the yield curve. The increased impact can be explained by an increase in duration of shareholders’ equity from 

0.1 years as at 31 December 2010 to 3.90 years as at 31 December 2011. 

Sensivity analysis 


200 basis points downward parallel shift on the yield curve 37,948 2,467 

200 basis points upward parallel shift on the yield curve -33,289 -9,644 

The 200 basis point downward shift value increases from EUR 2,4 million at 31 December 2010 to EUR 37,9 million at 

31 December 2011. This can be mainly explained by the increase in the duration of shareholders’ equity from 0.1 years 

(31 December 2010) to 3.90 years at year-end 2011. 


Value at risk 32,802 14,279 

This shows that the fair value decline will not exceed EUR 32.8 million with a confidence level of 99%. Achmea Hypotheekbank 

applies a VaR limit of EUR 53 million. 

Effects of a change in the interest rate on income statement 

Income at Risk measures the sensitivity of the net interest income if the underlying interest rates are raised by 1 basis point, 

with a time horizon of one year. 


Income at Risk -88 -67 

40

Interest risk profile financial assets and liabilities 

The table contains the risk profile of the financial assets and liabilities based on notional amounts and excluding the effect 

of derivatives. The net interest rate exposure is mainly mitigated by derivatives related to the financial assets and liabilities. 

Reference is made to note 20 for further details. 

As at 31 December 2011 Floating Fixed Non Total Total 

In thousands of euros interest interest interest carrying 

bearing 

amount 

Assets 

Loans and advances to banks 1,208,906 - - 1,208,906 1,208,906 

Loans and advances to public sector 110,777 - - 110,777 110,777 

Loans and advances to customers 1,414,924 10,952,840 - 12,367,764 13,187,031 

Interest-bearing securities - 150,652 - 150,652 153,203 

Total assets 2,734,607 11,103,492 - 13,838,099 14,659,917 

Liabilities 

Deposits from banks 2,713,083 - - 2,713,083 2,737,437 

Funds entrusted - 1,055,316 - 1,055,316 1,066,223 

Debt securities issued 5,027,893 4,918,985 - 9,946,878 10,213,471 

Subordinated liabilities - 106,941 - 106,941 107,775 

Total liabilities 7,740,976 6,081,242 - 13,822,218 14,124,906 

As at 31 December 2010 Floating Fixed Non Total Total 

In thousands of euros interest interest interest carrying 

bearing 

amount 

Assets 

Loans and advances to banks 898,463 - - 898,463 898,545 

Loans and advances to public sector 686,325 - - 686,325 686,325 

Loans and advances to customers 1,261,585 11,608,139 - 12,869,724 13,477,437 

Interest-bearing securities - 119,300 - 119,300 129,781 

Total assets 2,846,373 11,727,439 - 14,573,812 15,192,088 

Liabilities 

Deposits from banks 1,796,696 - - 1,796,696 1,813,970 

Funds entrusted - 1,258,280 - 1,258,280 1,271,571 

Debt securities issued 5,733,091 5,382,574 - 11,115,665 11,361,098 

Subordinated liabilities - 173,191 - 173,191 175,012 

Total liabilities 7,529,787 6,814,045 - 14,343,832 14,621,651 

Foreign currency 

Achmea Hypotheekbank’s policy is to hedge its exposure to currency risk. Achmea Hypotheekbank’s exposure relates to certain 

funding transactions in foreign currency. This funding is converted into Euros and the exposure is hedged with cross currency 

swaps (micro hedge). The following table gives an analysis of cash flows of this foreign currency funding and the non-euro part of 

the cash flow of the related cross currency swap. 


41


Total Notional Net Total Notional Net 

exposure amount of exposure exposure amount of exposure 

hedging 

hedging 

instruments 

instruments 

Assets 

US Dollar - - - - - - 

Swiss Franc - - - - - - 

- - - - - - 

Liabilities 

US Dollar 1,817,057 1,817,057 - 2,429,207 2,429,207 - 

Swiss Franc 213,728 213,728 - 207,668 207,668 - 

2,030,785 2,030,785 - 2,636,875 2,636,875 - 

Net 

US Dollar -1,817,057 -1,817,057 - -2,429,207 -2,429,207 - 

Swiss Franc -213,728 -213,728 - -207,668 -207,668 - 

-2,030,785 -2,030,785 - -2,636,875 -2,636,875 - 

All foreign exchange positions are fully hedged and therefore there is no remaining exposure on foreign exchange. 

The following exchange rates have been used: 

Closing rate 

Average rate 

2011 2010 2011 2010 

US Dollar 1.2933 1.3375 1.3154 1.3888 

Swiss Franc 1.2165 1.2520 1.2343 1.3678 

3.5 Liquidity risk 

Liquidity risk is defined as the risk that the Bank fails to fulfil short-term obligations. This includes both the risk that the Bank 

is not able to attract funding with appropriate maturities or at appropriate interest rates and the risk that the Bank fails to 

liquidate assets at a reasonable price or within a reasonable period of time. Control of the maturity mismatch of assets and 

liabilities is a fundamental element of Achmea Hypotheekbank’s liquidity risk management. The liquidity forecast is a standard 

topic in the FRC-meetings. The day–to-day cash management is executed by Achmea’s central Treasury department, which 

monitors the limit for the daily minimum cash position. Responsible for monitoring the liquidity position is the Balance Sheet 

Management department. For longer term steering the strategic funding mix is defined in the Funding and Capitalisation Plan. 

Achmea Hypotheekbank has a Contingency Plan available in case of a liquidity stress event. 

42

The following table presents an analysis of the maturities of assets and liabilities of Achmea Hypotheekbank according to their 

contractual remaining life at 31 December 2011. 

Net liquidity gap 

As at 31 December 2011 

In thousands of euros < 3 months Between Between > 5 years Total Total 

3 months 1 and 5 years carrying 

Assets and 1 year amount 

Loans and advances to banks, 

public sector and customers 863,117 775,234 3,360,443 8,688,653 13,687,447 14,506,714 

Interest-bearing securities - 86,454 64,198 - 150,652 153,203 

Total assets 863,117 861,688 3,424,641 8,688,653 13,838,099 14,659,917 

Liabilities 

Deposits from banks 1,025,564 757,065 828,275 102,179 2,713,083 2,737,437 

Funds entrusted 169,547 121,091 312,168 452,510 1,055,316 1,066,223 

Debt securities issued - 2,278,347 7,442,925 225,606 9,946,878 10,213,471 

Subordinated liabilities - 37,750 39,191 30,000 106,941 107,775 

Total liabilities 1,195,111 3,194,253 8,622,559 810,295 13,822,218 14,124,906 

Net liquidity gap -331,994 -2,332,565 -5,197,918 7,878,358 15,881 

As at 31 December 2010 

In thousands of euros < 3 months Between Between > 5 years Total Total 

3 months 1 and 5 years carrying 

Assets and 1 year amount 

Loans and advances to banks, 

public sector and customers 1,253,201 799,772 3,156,123 9,245,416 14,454,512 15,062,307 

Interest-bearing securities - - 119,300 - 119,300 129,781 

Total assets 1,253,201 799,772 3,275,423 9,245,416 14,573,812 15,192,088 

Liabilities 

Deposits from banks 419,945 150,213 643,038 583,500 1,796,696 1,813,970 

Funds entrusted 323,284 214,476 395,885 324,635 1,258,280 1,271,571 

Debt securities issued - 522,033 10,372,687 220,944 11,115,665 11,361,098 

Subordinated liabilities - 6,250 76,941 90,000 173,191 175,012 

Total liabilities 743,229 892,972 11,488,551 1,219,079 14,343,832 14,621,651 

Net liquidity gap 509,972 -93,200 -8,213,128 8,026,337 229,981 

This table is based on notional amounts of the assets and liabilities excluding revaluation effects and reflects the funding 

position. 

The liquidity gaps shown in the table above will be funded according to the funding plan of Achmea Hypotheekbank. This will be 

a mix between wholesale and retail funding. The execution of the funding plan is on track. 


43

In July 2011 Achmea Hypotheekbank placed a new EUR 0.8 billion RMBS (DMPL IX). In addition to this, EUR 1.0 billion of 

additional savings were raised by Achmea Retail bank during 2011 to refinance part of Achmea Hypotheekbank’s mortgage 

portfolio. In November 2011 the Bank called (at the first optional redemption date) a subordinated loan of EUR 60 million with 

an original maturity of 2016. In December 2011 the Bank completed the early redemption of EUR 672 million (USD 900 million) 

of Dutch State Guaranteed loans with an original maturity of 2014. 

Achmea Hypotheekbank has at year end a portfolio of liquid assets amounting to EUR 0.1 billion that can easily be sold 

or posted as collateral. Furthermore, the Bank has a commitment from Achmea Pensioen en Levensverzekeringen N.V. 

that enables Achmea Hypotheekbank to transfer EUR 1.5 billion of mortgage loans exchange for cash in case of a liquidity 

emergency. 

The table below shows the maturity of derivatives based on the contractual period. 

Notional amounts derivatives 


In thousands of euros < 1 year Between > 5 years Total Total 

1 and 5 years carrying 

amount 

Interest rate derivatives 2,851,723 6,970,332 3,106,071 12,928,126 -766,458 

Cross currency interest rate derivatives - 1,866,379 164,406 2,030,785 392,545 

Total derivatives 2,851,723 8,836,711 3,270,477 14,958,911 -373,913 


In thousands of euros < 1 year Between > 5 years Total Total 

1 and 5 years carrying 

amount 

Interest rate derivatives 2,355,000 12,046,864 4,046,491 18,448,355 -510,244 

Cross currency interest rate derivatives - 2,477,830 159,744 2,637,574 424,515 

Total derivatives 2,355,000 14,524,694 4,206,235 21,085,929 -85,729 

Future interest cash flow of the liabilities 


In thousands of euros < 3 months Between Between > 5 years Total 

3 months 1 and 5 years 

and 1 year 

Deposits from banks 4,263 15,270 5,592 5,584 30,709 

Funds entrusted 623 1,805 8,173 9,471 20,072 

Debt securities issued 88,664 164,048 388,320 16,426 657,458 

Subordinated liabilities 444 5,360 17,181 1,650 24,635 

Derivative liabilities held for risk management 30,981 251,954 861,623 655,915 1,800,473 

Total interest cashflows 124,975 438,437 1,280,889 689,046 2,533,347 

44


In thousands of euros < 3 months Between Between > 5 years Total 

3 months 1 and 5 years 

and 1 year 

Deposits from banks 29,989 32,538 71,715 - 134,242 

Funds entrusted 6,298 5,856 21,959 33,097 67,210 

Debt securities issued 89,950 244,993 831,568 27,526 1,194,037 

Subordinated liabilities 247 6,942 12,510 - 19,699 

Derivative liabilities held for risk management 66,200 245,463 824,050 625,215 1,760,928 

Total interest payable cashflows 192,684 535,792 1,761,802 685,838 3,176,116 

The table above presents only the future interest cash flows related to the liabilities for the remainder contract period. With 

respect to financial instruments with a contractual reprising date before contractural maturity, current interest rates have been 

used as a best estimate to determine future interest charges. 

3.6 Operational risk 

Operational risks are potential losses as a result of inadequate or defective internal processes and systems, inadequate or 

incorrect human actions, or external events and fraud. 

Achmea Hypotheekbank has set up a framework for identifying, evaluating, monitoring and managing operational risks and 

risks surrounding information security and business continuity. This comprises the following processes: 

• risk identification and classification through risk self-assessments, audits and top-down risk analysis into the reliability of 

the financial statements; 

• risk measurement through key risk indicators, a central incidents database and incident reporting and analysis; 

• risk mitigation, acceptance and monitoring through follow-up of outstanding actions and audit findings. 

The responsibility to manage operational risks is primarily assigned to the operating and commercial departments, i.e. line 

management (first line of defense). 

The result of the evaluation of the risk management cycle is reflected in the bank’s Internal Control Statement (ICS). 

The processes, methods and techniques applied for this evaluation are described in the ICS Manual. The internal control 

framework supports the risk management process by determining the effectiveness of the controls in its key risk areas. 

The comprehensive ICS is drawn up once a year, but is monitored on a quarterly basis. 

Achmea Hypotheekbank applies the basic indicator approach for calculating its operational risk capital charge under pillar I of 

Basel II. 

3.7 Capital management 

Under the Basel II rules, banks must hold sufficient buffer capital to cover the risks arising from banking operations. Pillar I 

offers guidelines for calculating the minimum amount of capital that needs to be held, according to regulators, in relation to 

credit risk, market risk and operational risk. Under the rules, the capital adequacy requirements relating to these risks can be 

calculated in a number of ways with varying degrees of sophistication. 


45

Achmea Hypotheekbank’s policy is to maintain a strong capital base to maintain investor, creditor and market confidence 

and to sustain future development of the business. The trade off between risk and return is part of the overall risk appetite 

framework of the bank. 

Under the Dutch Financial Supervision Act (Wft), banks are required to maintain a minimum capital ratio (BIS ratio) of 8%. 

The Executive Board set the internally applied target for the capital minimum level at 12%. Achmea Hypotheekbank complies 

with external and internal minimum requirements throughout the year with a Core Tier 1 ratio of 11.7% and a BIS ratio of 12.6% 

at year-end 2011. 

Qualifying capital and risk weighted assets 

Core tier 1 capital 

In 2011, core tier 1 capital decreased by EUR 26 million from EUR 507 million to EUR 481 million, mainly due to the negative 

2011 result. Lower direct capital deductions of EUR 5 million (2010: EUR 21 million) had a positive effect on core tier 1 capital in 

2011. Since Achmea Hypotheekbank does not hold any hybrid tier 1 instruments, tier 1 capital equals its core tier 1 capital. 

Tier 2 capital 

Qualifying lower tier 2 capital (subordinated loans) is decreased with EUR 75 million compared with 2010 to EUR 43 million, 

mainly as a result of: 

• The bank redeemed a EUR 60 million subordinated loan (maturity 2016) in November 2011, resulting in a EUR 60 million 

decrease in qualifying lower tier 2 capital. 

• Subordinated loans are assigned a lower weighting as they approach maturity, which results in a EUR 15 million lower 

contribution to the qualifying capital. 

Risk weighted assets 

In view of the new Basel III guidelines and the new securitisation reporting guidelines by De Nederlandsche Bank (DNB) 

(‘Regeling securitisaties’), Achmea Hypotheekbank currently reports its exposure arising from securitisation positions within 

its risk-weighted assets instead of directly deducting these from its tier 1 and tier 2 capital. This direct deduction from its tier 

1 and tier 2 capital led to a decrease from tier 1 and tier 2 capital of EUR 28 million and an increase in risk-weighted assets 

of EUR 297 million. Therefore the total risk-weighted assets increased slightly from EUR 4,0 billion (year-end 2010) to EUR 4,1 

billion (year-end 2011), even though Achmea Hypotheekbank reduced its risk exposure further in 2011 by reducing its mortgage 

portfolio. The deductions consist of the reserve accounts. 

46

Qualifying capital and BIS 


Share capital 18 18 

Share premium reserve 269 269 

Reserves 199 241 

Deductions -5 -21 

Core Tier 1 capital 481 507 

Lower Tier 1 43 118 

Deductions -5 -21 

Tier 2 capital 38 97 

Total qualifying capital 519 604 

Risk-weighted assets 4,124 3,958 

Core Tier 1 ratio 11.7% 12.8% 

BIS ratio 12.6% 15.3% 

Internal capital adequacy requirements 

The bank has implemented internal processes to align with the required capital for the risks the bank faces. At Achmea 

Hypotheekbank these processes are included in the Internal Capital Adequacy Assessment Process (ICAAP) manual. Among 

other things, this manual describes the governance structure, the procedures, the assumptions and the methods used to 

determine the required capital. ICAAP serves to assess and maintain both the current and future capital adequacy of Achmea 

Hypotheekbank. 

At present, the internal capital adequacy requirement is based on the requirements of Pillar I, supplemented with: 

• a surcharge for interest rate risk; and 

• add-ons for elevated credit risk of the mortgage portfolio and counterparty credit risk under stressed conditions. 

Capital contingency 

The purpose of capital contingency is to ensure that appropriate measures are taken in case of an (imminent) solvency deficit. 

Achmea Hypotheekbank monitors its solvency position on a frequent basis. At the same time however, the bank recognizes that 

unexpected events, both internally and externally, during a short or long period may adversely affect the capital position and 

that this may jeopardize the continuity of the bank. It is therefore important to consistently be able to obtain sufficient capital, 

not only in a going concern situation but also in times of stress. Achmea Hypotheekbank has a capital contingency plan with 

the objective to have the appropriate measures in place to bring the solvency of the bank back at the desired level. 

3.8 Fair value financial assets and liabilities 

The fair value is the value at which an asset can be traded or for which a liability can be settled between parties who are well 

informed in this regard, who are willing to enter into a transaction and who operate independently of each other. 


47

The table below shows the fair value and carrying amount of the financial assets and liabilities. 

In thousands of euros Carrying Fair Carrying Fair 

amount value amount value 

2011 2011 2010 2010 

Financial assets 

Loans and advances to banks and public sector 1,319,683 1,521,809 1,584,870 1,585,555 

Loans and advances to customers 13,187,031 12,992,610 13,477,437 13,382,338 

Financial liabilities 

Deposits from banks 2,737,437 2,745,698 1,813,970 1,824,711 

Funds entrusted 1,066,223 1,106,072 1,271,571 1,278,795 

Debt securities issued 10,213,471 10,209,192 11,361,098 11,607,362 

Subordinated liabilities 107,775 111,271 175,012 177,380 

The carrying amount of loans and advances to customers includes other elements which are disclosed in note 9. 

If a financial instrument is traded in an active and liquid market, the quoted price or value is the best indicator for the fair value. 

The most appropriate market price for an asset held or a liability to be issued will often be the current bid price and, for an 

asset to be acquired or liability held, the current offer or asking price. If Achmea Hypotheekbank holds assets and liabilities 

with opposite market risks, mid rates are used as a basis for determining the fair value. 

If no market price is available on an active market, the fair value is calculated on the basis of the discounted value or another 

valuation method based on the market conditions on the reporting date. Generally accepted methods in the financial market 

are the present value model and option valuation models. An accepted valuation method includes all factors that market 

participants deem to be important for pricing. This method should also be consistent with the accepted economic models for 

the valuation of financial instruments. 

The basic principles for determining the fair value are: 

• Using as much as possible the market price as the basis for valuation. The use of internal estimates and assessments is kept 

to a minimum; 

• Only adjusting the estimation method (valuation method) if an improvement in the valuation can be demonstrated or if the 

valuation is essential or because there is insufficient information available. 

Notes to estimation of the fair values 

Loans and advances to banks or public sector 

The fair value of loans and advances to banks or to the public sector is based on the present value of expected future cash 

inflows, using current market interest rates. 

Loans and advances to customers 

The fair value of loans and advances to customers is based on the present value of expected future cash inflows, using current 

market interest rates. The interest rate is based on the money market and capital market, both of which are in the public 

domain. Where possible, Achmea Hypotheekbank makes use of variables that are observable in these markets. The effects of 

48

the credit crisis (in particular liquidity and default risks) have been evaluated in measuring the fair value of loans and advances 

to customers. Achmea Hypotheekbank’s lending involves mortgage loans to the Dutch market only. 

Deposits from banks, funds entrusted and debt securities issued 

The fair value of payables to loans and advances to banks, funds entrusted and debt securities issued is based on the 

discounted present value of the expected future cash outflows, using current market interest rates. 

In measuring the fair value of these items a mark-up is applied to the effective rate of interest, which is based on liquidity and 

default risks. This mark-up has been determined specifically for each risk profile and each interest-rate band on the basis of 

quotes used by the market participants. 

Subordinated liabilities 

The fair value of the subordinated liabilities is based on the discounted present value of the expected future cash outflows, 

using current interest rates for subordinated loans with a similar risk profile and a similar remaining term to maturity. 

The table below provides an analysis of financial instruments that are measured subsequent to initial recognition at fair value, 

grouped into three levels (fair value hierarchy) based on the significance of the inputs used in determining fair value. 

Financial assets and liabilities at fair value through profit or loss 


In thousands of euros Level 1 Level 2 Level 3 Total 


Derivative assets held for risk management 

- Interest rate swaps - 237,391 - 237,391 

- Currency swaps - 392,545 - 392,545 

- Back to back swaps - - 183,597 183,597 

- 629,936 183,597 813,533 

Financial assets designated at fair value through profit or loss 

- Loans and advances to customers - - 375,817 375,817 

- - 375,817 375,817 

Financial assets held for sale 

- Interest-bearing securities 153,203 - - 153,203 

153,203 629,936 559,414 1,342,553 


Derivative liabilities held for risk management 

- Interest rate swaps - 1.003,849 - 1,003,849 

- Currency swaps - - - - 

- Back to back swaps - - 183,597 183,597 

- 1.003,849 183,597 1,187,446 


49


In thousands of euros Level 1 Level 2 Level 3 Total 


Derivative assets held for risk management 


- Currency swaps - 424,515 - 424,515 

- Back to back swap - - -32,584 -32,584 

- 743,052 -32,584 710,469 

Financial assets designated at fair value through profit or loss 

- Loans and advances to customers - - 413,849 413,849 

- - 413,849 413,849 

Financial assets held for sale 

- Interest-bearing securities 129,781 - - 129,781 

129,781 743,052 381,265 1,254,099 


Derivative liabilities held for risk management 


- Currency swaps - - - - 

- Back to back swap - - -32,584 -32,584 

- 828,782 -32,584 796,198 

• Level 1: Quoted prices (unadjusted) in active markets for identical assets or liabilities. 

• Level 2: Valuation techniques based on observable inputs, either directly (i.e. as prices) or indirectly (i.e. derived from prices). 

This category includes instruments valued using quoted prices in active markets for similar instruments, quoted prices for 

identical or similar instruments in markets that are considered less than active or valuation techniques where all significant 

inputs are directly or indirectly observable from market data. 

• Level 3: Valuation techniques using significant unobservable inputs. This category includes all instruments where the 

valuation technique includes inputs not based on observable data and the unobservable inputs have a significant effect on 

the instruments valuation. 

During the year 2011 no financial instruments have been transferred between the different levels. The total amount of gains 

and losses accounted for financial instruments with a level 3 fair value amounted to a gain of EUR 4.4 million (2010: gain of EUR 

2.1 million), which was included in the statement of comprehensive income. 

As this effect is mitigated by the revaluation of the related derivatives the net effect in 2011 amounted to a gain of EUR 2.8 

million (2010: gain of EUR 2.6 million). 

Although Achmea Hypotheekbank believes that its estimates of fair value are appropriate, the use of different methodologies 

or assumptions could lead to different measurements of fair value. For fair value measurements in Level 3 of the fair value 

hierarchy, changing one or more of the unobservable inputs would have the following effects: 

• Prepayment risk; Achmea Hypotheekbank uses a prepayment rate of 7% for its mortgage portfolio. In case the prepayment 

rate is increased by one percentage point the fair value of the level 3 private sector loans and advances will increase with 

EUR 0.1 million. A decrease of one percentage point will have an adverse effect on the fair value of EUR 0.1 million. 

50

• Default rate sensitivity analysis; The fair value of financial assets, carried at fair value through profit or loss, takes into 

account the default rate of our counterparties. Applying our accounting policies, the table below shows the impact on our 

results of a change in the default rate among our mortgage borrowers. 

Sensitivity analysis 


Increase of 10 basis points -907 -1,042 

Increase of 20 basis points -1,823 -2,077 




The impact of the default rate on the calculation of the fair value of the loans and advances to customers amounts to EUR 18.9 

million (2010 EUR 16.0 million). 

It should be noted that in case the actual differs from the estimated prepayment rate, this will also have an impact on the 

interest rate risk. Interest rate risk will be mitigated in line with the interest risk policy. As a result the impact on shareholders’ 

equity and net result is minimal. 

4. Critical estimates and judgements used in applying the accounting policies 

Achmea Hypotheekbank makes estimates and assumptions which affect the value of assets and liabilities reported during the 

current financial year. The estimates and assumptions are continuously assessed and are based on historical data and future 

events that are considered reasonable in the circumstances. 

Fair value measurement 

The fair value of financial instruments that are not listed on an active market is assessed using valuation models. As far as 

practically possible, the valuation models are used in combination with observable market data. For credit risk, volatility and 

correlations the specific characteristics of the market in which the financial instrument is used are taken into account. 

Impairment of loans and advances to customers 

Achmea Hypotheekbank periodically evaluates whether the mortgage loans are impaired. In deciding whether an impairment 

loss should be recognised in the statement of comprehensive income, Achmea Hypotheekbank evaluates whether there are any 

observable indications of a decrease in the estimated future cash inflows of a loan portfolio, before determining the decrease 

for an individual loan in that portfolio. 

The method and assumptions used to estimate both the amount and the timing of future cash flows are reviewed periodically 

in order to reduce differences between estimates of losses and actual losses. 

Estimates used for macro hedge accounting 

The amortisation method for macro hedge accounting is based on the effective-interest method over the remaining term to 

maturity of the hedged item (ranging from 1 to 30 years). 


51

5. Cash and cash equivalents 


Cash 6,147 8,706 

Deposits with central banks 384,505 120,001 

390,652 128,707 

This item includes all cash and deposits held at De Nederlandsche Bank N.V. At the end of 2011, the minimum reserve to be 

maintained at De Nederlandsche Bank N.V. amounted to EUR 4.3 million, which is not at Achmea Hypotheekbank’s free disposal 

(2010: EUR 7.0 million). In 2011, deposits with central banks are included under cash and cash equivalents, instead of being 

classified under loans and advances to public sector, as in 2010. The comparative figures have been adjusted for this. 

6. Derivatives held for risk management 

Achmea Hypotheekbank uses the following derivative financial instruments for hedging purposes (derivatives are classified as 

‘held for trading’ and measured at fair value): 

Interest rate swaps and cross currency interest rate swaps 

Swaps are obligations which result in an economic exchange of cash flows items, such as currencies or interest rates. Achmea 

Hypotheekbank’s credit risk corresponds to the swap contract replacement costs in the event of counterparty default. This risk 

is continuously monitored, taking into account the current fair value, the notional amount and the liquidity of the market. 

To control its credit risk, Achmea Hypotheekbank only executes contracts with reputable counterparties and sets individual 

limits per counterparty. 

Back to back swaps 

Back to back swaps are swap agreements between the SPV, Achmea Hypotheekbank and a third party, which have been 

structured in such a manner, that the yearly net result of the SPV will be zero. By means of this swap agreement Achmea 

Hypotheekbank pays the SPV the interest expenses on the notes and the SPV pays Achmea Hypotheekbank the interest 

received on the mortgage receivables less the third party expenses and less a fixed excess spread. 

The derivative financial instruments are assets or liabilities, depending on fluctuations in the market rates (for example 

interest and currency rates) comparable to the rates of the contract. The fair value of derivative financial instruments held may 

fluctuate strongly from time to time. 

Derivatives 

As at 31 December 2011 Notional amount Fair value 

Assets 

Liabilities 

In thousands of euros Current Non-current Current Non-current 

Currency and interest rate swaps 14,958,911 53,058 576,879 41,688 962,162 

Back to back swaps -63,875 247,471 -63,875 247,471 

Total derivative assets/liabilities -10,817 824,350 -22,187 1,209,633 

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As at 31 December 2010 Notional amount Fair value 

Assets 

Liabilities 

In thousands of euros Current Non-current Current Non-current 

Currency and interest rate swaps 21,085,929 41,602 701,452 55,121 773,662 

Back to back swaps 14,955 -47,540 14,955 -47,540 

Total derivative assets/liabilities 56,557 653,912 70,076 726,122 

7. Loans and advances to banks 

Loans and advances to banks refer to receivables from banks, other than interest-bearing securities. 


• Not available on demand 1,049,599 658,968 

• On demand 159,307 189,577 

• < or equal to 3 months - 50,000 

1,208,906 898,545 

The amount not available on demand is composed of collateral for derivatives (CSA), reserve funds and suspense accounts related 

to securitisation transactions. 

8. Loans and advances to public sector 


Loans and advances to public sector 110,777 686,325 

This item comprises funds lent to public authorities, which are deposits that are classified as loans and receivables. In 2011, 

deposits with central banks are included under cash and cash equivalents, instead of under loans and advances to public 

sector, as in 2010. The comparative figures have also been adjusted for this. 

All loans and advances to public sector are current. 

9. Loans and advances to customers 


Mortgage loans at fair value 375,817 413,849 

Mortgage loans at amortised cost 12,624,781 13,080,919 

Other loans at amortised cost 200,527 - 

Less: Provisions for impairment 14,094 17,331 

12,811,214 13,063,588 

13,187,031 13,477,437 

This includes all receivables from the private sector. 


53

As at 31 December 2011, the floating-rate loans amounted to EUR 1.4 billion (2010: EUR 1.3 billion) and the loans with fixed 

interest rates amounted to EUR 11.0 billion (2010: EUR 11.6 billion). 

The loans and advances to customers can be analysed according to their contractual remaining life as follows: 


• < or equal to 3 months 455,241 273,062 

• 3 months < x < or equal to 1 year 662,196 689,191 

• 1 year < x < or equal to 5 years 3,012,524 3,156,123 

• > 5 years 9,057,070 9,359,061 

13,187,031 13,477,437 

For the contractual remaining life of the loans and advances to customers Achmea Hypotheekbank uses a prepayment rate of 7%. 

The loans and advances to customers were provided entirely on the security of mortgage loans on properties in the Netherlands. 

As at 31 December 2011, an amount of EUR 10.7 billion (2010: EUR 12.4 billion) of the loans and advances to customers is pledged 

in connection with money and capital market transactions for funding purposes. 

Overview of pledged mortgage transactions (against nominal value) 


• Stichting Trustee Achmea Hypotheekbank 1,156,486 2,037,566 

• Dutch Mortgage Portfolio Loans II B.V. 385,598 416,614 

• Dutch Mortgage Portfolio Loans III B.V. 439,570 474,225 

• Dutch Mortgage Portfolio Loans IV B.V. - 526,895 

• Dutch Mortgage Portfolio Loans V B.V. 609,069 665,988 

• Dutch Mortgage Portfolio Loans VI B.V. 644,039 681,196 

• Dutch Mortgage Portfolio Loans VII B.V. - 735,863 

• Dutch Mortgage Portfolio Loans VIII B.V. 1,242,462 1,331,725 

• Dutch Mortgage Portfolio Loans IX B.V. 848,134 - 

• Securitised Guaranteed Mortgage Loans I B.V. 857,864 851,216 

• Securitised Guaranteed Mortgage Loans II B.V. 479,436 481,064 

• Achmea Covered Bond Company B.V. 4,015,834 4,189,976 

10,678,492 12,392,328 

These transactions were effected on market terms and conditions as mentioned in the prospectus of each transaction. All the 

bonds issued by SGML II B.V. and the B and C tranches of the bonds issued by DMPL VI B.V., DMPL VIII B.V. and DMPL IX B.V. are 

held by Achmea Hypotheekbank. 

54

Impairment of receivables 


Balance as at 1 January 17,331 14,563 

Additions 11,390 13,660 

Releases -5,580 -4,466 

5,810 9,194 

Write-offs -9,047 -6,426 

Balance as at 31 December 14,094 17,331 

Specific provisions for impairment 9,339 12,470 

IBNR 4,755 4,861 


Movements in loans and advances to customers at fair value 



Repayments -42,313 -40,768 

Fair value movement 4,281 1,924 


The fair value movement is mainly caused by the decrease in the euro swap curve. 

Mortgage loans at amortised cost 


Balance as at 1 January 13,063,588 13,684,488 

Mortgage loans granted 171,299 150,101 

Other loans granted 200,000 - 

Repayments -830,236 -817,013 

Change in accrued interest -1,789 -3,215 

Fair value hedge accounting 

Revaluation basis adjustment mortgages 305,828 156,823 

Amortisation basis adjustment mortgages -54,342 -68,830 

Amortisation ‘first time adoption’ -37,211 -35,552 

214,275 52,441 

Amortised cost 

Change -2,914 5,915 

Amortisation -6,246 -6,361 

-9,160 -446 

Value adjustment 

Additions -11,390 -13,660 

Releases 5,581 4,466 

Write-offs 9,046 6,426 

3,237 -2,768 

Balance as at 31 December 12,811,214 13,063,588 


55

The carrying amount of the fair value hedge adjustment is EUR 760 million (2010: EUR 545 million). 

10. Interest-bearing securities 

The interest-bearing securities amounted to EUR 153.2 million (2010: EUR 129.8 million). The interest-bearing securities form 

part of the bank’s investment portfolio and are classified as available for sale (measured at fair value and with changes in fair 

value recorded in equity). 

The changes in the value of investments in the bonds mentioned below amounted to EUR 1.6 million negative (2010: EUR 5.9 

million positive). 

Movements in the investments in interest-bearing securities 



Purchases 125,000 79,300 

Sales/repayments -100,000 -35,000 

Value adjustments -1,578 5,872 


11. Prepayments and other receivables 


Prepayments and other receivables 22,985 22,514 

22,985 22,514 

Prepayments and other receivables include an amount of EUR 2.9 million (2010: EUR 2.2 million) relating to receivables from 

Achmea Group companies. An amount of EUR 18.8 million of the total amount of the prepayments is non-current. 

12. Deposits from banks 

This includes the non-subordinated liabilities to credit institutions other than those embodied in debt securities. The deposits 

from banks item can be analysed according to remaining contractual term to maturity. 


• < or equal to 3 months 1,031,459 421,050 


• 1 year < x < or equal to 5 years 836,781 654,165 

• > 5 years 103,847 586,340 

2,737,437 1,813,970 

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13. Funds entrusted 

This includes all non-subordinated liabilities other than debts to credit institutions and those included in debt securities. 


• < or equal to 3 months 173,236 325,015 


• 1 year < x < or equal to 5 years 314,181 399,644 

• > 5 years 454,459 331,443 

1,066,223 1,271,571 

Funds entrusted include an amount of EUR 0.8 billion (2010: EUR 0.9 billion) in respect of liabilities to non-banking institutions 

within the Achmea Group. For an analysis of these liabilities within Achmea Group, we refer to the separate related-party 

disclosures (note 27). 

14. Debt securities issued 

This item includes bonds and other debt securities. 


• Dutch Mortgage Portfolio Loans II B.V. 365,396 399,646 

• Dutch Mortgage Portfolio Loans III B.V. 426,553 465,079 

• Dutch Mortgage Portfolio Loans IV B.V. - 480,576 

• Dutch Mortgage Portfolio Loans V B.V. 556,447 620,066 

• Dutch Mortgage Portfolio Loans VI B.V. 600,788 644,625 

• Dutch Mortgage Portfolio Loans VIII B.V. 1,101,439 1,200,000 

• Dutch Mortgage Portfolio Loans IX B.V. 738,326 - 

• Securitised Guaranteed Mortgage Loans I B.V. 772,044 793,149 

• Securitised Guaranteed Mortgage Loans II B.V. - 479,850 

• Achmea Covered Bond Programme 2,928,728 2,922,667 

• State Guaranteed Loans 1,817,057 2,429,907 

• European Medium Term Notes Programme 640,100 680,100 

Total notional amounts 9,946,878 11,115,665 

Accrued interest 114,803 119,421 

FV hedge accounting 187,025 152,975 

Amortised cost -35,235 -26,963 

Carrying amount 10,213,471 11,361,098 

The average interest rate for the year 2011 is 2.78% (2010: 2.48%). 


57

The analysis of debt securities issued according to remaining contractual term to maturity is as follows: 


• < or equal to 3 months - - 

• 3 months < x < or equal to 1 year 2,315,534 522,794 

• 1 year < x < or equal to 5 years 7,434,414 10,411,206 

• > 5 years 463,523 427,098 

10,213,471 11,361,098 

15. Subordinated liabilities 

The composition of subordinated liabilities is as follows: 

In thousands of euros Interest percentage (%) 2011 2010 

Loan 1999/2015 5.57 7,145 7,145 

Loan 1999/2014 5.68 1,192 1,191 

Loan 2001/2013 (*) 6.27 25,405 25,405 

Loan 2001/2011 (*) 5.87 - 6,260 

Loan 2001/2012 (*) 5.95 6,260 6,260 

Loan 2001/2015 (*) 6.12 6,261 6,261 

Loan 2002/2012 (*) 5.96 8,242 8,242 

Loan 2002/2012 (*) 5.89 4,511 4,511 

Loan 2002/2012 (*) 5.89 2,506 2,506 

Loan 2002/2012 (*) 5.89 11,528 11,528 

Loan 2002/2012 (*) 5.89 5,012 5,012 

Loan 2006/2016 1.63 - 60,090 

Loan 2007/2017 5.50 29,713 30,601 

107,775 175,012 

The subordinated liabilities may be redeemed on an accelerated scheme subject to the prior approval of De Nederlandsche 

Bank N.V. The subordinated liabilities marked (*) have been provided by Achmea Group companies. The interest expenses for 

2011 amount to EUR 6.3 million (2010: EUR 7.8 million). 

16. Accruals and other liabilities 


Accruals 15,215 7,530 

Other liabilities 62,162 96,333 

77,377 103,863 

Accruals and other liabilities consist mainly of obligations related to state guaranteed loans and prepayments on mortgages. 

From the total accruals and other liabilities an amount of EUR 22,8 million is non-current, the remainder is current. 

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17. Deferred tax assets and liabilities 

The deferred tax is calculated on all temporary differences at an effective tax rate of 25.0%. 

The deferred tax assets and liabilities are related to the following items: 

In thousands of euros Assets Liabilities Balance 

2011 2010 2011 2010 2011 2010 

Interest-bearing securities - - 1,506 1,498 -1,506 -1,498 

Valuation differences due 

to application of IFRS 1,904 2,030 265,814 93,128 -263,910 -91,098 

Tax position asset/liability 1,904 2,030 267,320 94,626 -265,416 -92,596 

Tax rate 25.0% 25.0% 25.0% 25.0% 25.0% 25.0% 

Net deferred tax 476 508 66,830 23,657 -66,354 -23,149 

Prior year adjustments - - 328 - -328 - 


The valuation differences due to the application of IFRS can be specified as follows: 

In thousands of euros Assets Liabilities Balance 

2011 2010 2011 2010 2011 2010 

Derivative assets held for 

risk management - - -325,609 -85,730 325,609 85,730 

Deposits from banks - - -187,025 -382,487 187,025 382,487 

Accrued interest - - -18,629 -18,739 18,629 18,739 

Loans and advances to customers 1,904 2,030 797,077 580,084 -795,173 -578,054 

Tax position asset/liability 1,904 2,030 265,814 93,128 -263,910 -91,098 

Tax rate 25.0% 25.0% 25.0% 25.0% 25.0% 25.0% 


From deferred tax assets and liabilites an amount of EUR 42.3 million is non-current, the remainder is current. 

Changes to temporary differences 

In thousands of euros Balance as at Recognised Recognised Balance as at 

01-01-2011 in result in equity 31-12-2011 

Interest-bearing securities -1,498 -323 -996 -2,817 

Valuation differences due to application of IFRS -91,098 -172,812 - -263,910 

-92,596 -173,135 -996 -266,727 

Tax rate 25.0% 25.0% 25.0% 25.0% 

Net deferred tax -23,149 -43,284 -249 -66,682 


59

In thousands of euros Balance as at Recognised Recognised Balance as at 

01-01-2010 in result in equity 31-12-2010 

Interest-bearing securities -3,423 240 1,685 -1,498 

Atypical tax treatment of expenses -195 195 - - 

Valuation differences due to application of IFRS -25,731 -65,367 - -91,098 

-29,349 -64,932 1,685 -92,596 

Tax rate 25.5% 25.0% 25.0% 25.0% 

Net deferred tax -7,484 -16,233 421 -23,149 

18. Current tax assets and liabilities 

The current corporate tax asset of EUR 58.0 million (2010: tax asset EUR 20.5 million) refers to the tax receivable for the 

reporting period and previous periods. Achmea Hypotheekbank is part of a fiscal unity with Achmea B.V. Therefore settlement 

of the tax liability with the tax authorities is via Achmea B.V. 

19. Shareholders’ equity 

As at 31 December 2011, the authorised share capital amounted to EUR 90.8 million, divided into 200,000 ordinary shares 

(2010: 200,000), each with a nominal value of EUR 453.78. As at 31 December 2011, 40,001 (2010: 40,001) shares had been 

issued and paid up in full. 

The fair value reserve comprises the cumulative net gains and losses on the fair value of the financial assets that are classified 

as available for sale. 

The retained earnings include the net loss of 2011. 

The reserves comprise the retained earnings of prior years and the legal reserve (EUR 0.7 million) for the financial assets at fair 

value through profit and loss. The fair value of the financial assets at fair value through profit and loss exceeds the cost price by 

EUR 0.7 million. 

20. Interest margin and changes in fair value of financial instruments 

The interest margin and changes in fair value of financial instruments can be specified as follows: 


Interest income 647,938 686,361 

Interest expenses 592,909 597,066 

Changes in fair value of financial instruments -65,141 23,024 

Interest margin and changes in fair value of financial instruments -10,112 112,319 

60

Interest income 


Loans and advances to customers 629,387 663,833 

Loans and advances to banks and public sector 12,473 22,718 

Other 6,078 -190 

647,938 686,361 

Loans and advances to customers mainly include revenues of mortgage loans. Loans and advances to customers also includes 

an amount of EUR 1.4 million (2010: EUR 0.9 million) relating to interest income on financial assets which have been subject to 

impairment. 

Interest income advances to banks or public sector, includes an amount of EUR 2.9 million (2010: EUR 2.3 million) relating to 

financial assets that are classified as available for sale. 

Other interest income includes mainly interest on current accounts. 

Interest expenses 


Deposits 57,508 100,246 

Funds entrusted 154,855 73,543 

Debt securities issued 241,909 279,237 

Derivative liabilities held for risk management 77,206 103,836 

Other 61,431 40,204 

592,909 597,066 

The interest expenses mainly consist of interest expenses related to external loans. Other interest expenses mainly include 

funding costs. 

Changes in fair value of financial instruments 

The total changes in fair value of financial instruments can be specified as follows: 


Effectiviness results of fair value hedge accounting -9,981 -9,679 

Changes in fair value of the mortgages and related derivatives -9,032 -9,095 

Changes in fair value of derivatives related to external loans and other effects -46,128 41,798 

-65,141 23,024 

The changes in fair value of the mortgages and related derivatives includes the passage of time effect for derivatives related to 

mortgages and amortisation effects of the mortgages. 

The changes in the fair value of derivatives related to external loans and other effects includes mainly amortisation effects for 

to the passage of time of derivatives related to external loans. 


61

Achmea Hypotheekbank applies fair value hedge accounting for part of the mortgages and the related interest rate derivates 

(macro hedge accounting) in order to hedge the interest rate risk of the mortgages. The hedged items consist of a portfolio of 

mortgages while the hedging instrument mainly consists of a portfolio of interest rate swaps. 

In addition to the above mentioned, Achmea Hypotheekbank enters into specific types of derivatives to limit the interest rate 

risk of the banking operations. For those derivatives Achmea Hypotheekbank applies fair value hedge accounting (micro hedge 

accounting). The hedged item consists of individual external loans while the hedging instrument consists of interest rate swaps 

and cross currency swaps. 

Any ineffectiveness effect related to fair value hedge accounting is reported in the income statement. 

The effectiveness results, based on the monthly figures in 2011, related to the macro hedges and micro hedges are specified below: 

In thousands of euros Gain Loss Net 2011 Net 2010 

Macro hedge 

Fair value changes in hedged items 572,212 266,384 305,828 156,823 

Fair value changes in hedging instruments 268,055 582,039 -313,984 -166,911 

-8,156 -10,088 

Micro hedge 

Fair value changes in hedged items 212,565 112,439 100,126 -69,819 

Fair value changes in hedging instruments 111,262 213,213 -101,951 70,228 

-1,825 409 

Totaal hedge 

Fair value changes in hedged items 784,777 378,823 405,954 87,004 

Fair value changes in hedging instruments 379,317 795,252 -415,935 -96,683 

-9,981 -9,679 

21. Fees and commission expenses 


Fees and commissions paid to Achmea Group entities 3,733 3,608 

This includes the commission paid by Achmea Hypotheekbank to the Direct Distribution Division and the Intermediary 

Distribution Division. 

22. Operating expenses 


Staff costs 7,511 8,214 

Administrative expenses 28,222 29,725 

Depreciation - 2 

35,733 37,941 

62

The administrative expenses mainly consist of costs charged on by staff departments and support services of Achmea Group 

(2011: EUR 25.0 million, 2010: EUR 26.8 million). 

23. Staff costs 


Wages and salaries 5,081 5,441 

Pension costs 875 881 

Social security charges 763 791 

Other staff costs 791 1,101 

7,511 8,214 

During the year, the average number of employees of Achmea Hypotheekbank was 105 FTEs (2010: 114 FTEs). All permanent 

staff are formally employed by Achmea Personeel B.V. The direct salary expenses, pension expenses, allowances and other 

payroll-related expenses are charged to Achmea Hypotheekbank on a monthly basis. 

24. Auditors’ fees 


Financial statement audit 469 478 

Other audit assignments - 187 

Other non-audit services - 592 

469 1,257 

The auditors’ fees are part of the administrative expenses. The decrease of other non-audit services is mainly due to additional 

services in 2010, registration covered bond programme and start up costs for DMPL VIII. 

The fees listed above relate to the procedures applied to the company and its consolidated group entities by accounting firms 

and external auditors as referred to in article 1(1) of the Dutch Accounting Firms Oversight Act (Wta). 

As from 2011 PricewaterhouseCoopers Accountants N.V. is appointed as auditor of Achmea Hypotheekbank. The expenses for 

2011 relate to the services rendered during 2011. The expenses for 2010 are related to the expenses of the previous auditor, 

whereas the expenses for this auditor made in 2011 are not included in the table above. 

Expenses related to audit firms other than PricewaterhouseCoopers Accountants N.V. amounts to EUR 0.2 million. 


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25. Income tax expenses 

Taxes due on profits 


For the year -57,131 -721 

Deferred tax 

Origination and reversal of temporary differences, for the year 43,284 16,423 

Reduction in corporate tax rate - -453 

Total deferred tax expenses 43,284 15,970 

Total tax in statement of comprehensive income -13,847 15,249 

Reconciliation of the effective tax burden 


Operating profit before taxes -55,388 61,576 

Nominal tax rate 25.0% 25.5% 

Nominal tax burden -13,847 15,702 

Reduction in tax rate - -453 

Effective tax burden -13,847 15,249 

Effective tax rate 25.0% 24.8% 

The deferred tax assets and liabilities recognised in the consolidated statement of financial position as at year-end 2010 have 

been restated at a tax rate of 25.0%. Achmea Hypotheekbank is part of a fiscal unity with Achmea B.V. 

26. Contingent liabilities and commitments 

Legal proceedings 

As at 31 December 2011, a number of cases against Achmea Hypotheekbank were before the courts. Based on legal advice, the 

Executive Board does not expect the outcome of the various proceedings to have a material effect on the company’s financial 

position. 

Contractual obligations 

As at 31 December 2011, Achmea Hypotheekbank had contractual obligations amounting to EUR 9.7 million (2010: EUR 9.7 million), 

primarily in connection with the use of ICT-related services. An amount of EUR 8.2 million (2010: EUR 8.5 million) is connected with 

ICT-related contracts with group companies. 

Contingent liabilities 

This includes all liabilities arising from transactions in which Achmea Hypotheekbank acts as guarantor for third parties. 

The contingent liabilities refer to bank guarantees were expired in 2011 (2010: EUR 0.1 million). 

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Irrevocable facilities 

This refers to all liabilities relating to irrevocable undertakings which may lead to credit losses. This includes offers accepted by 

customers for mortgage loans and credit facilities amounting to EUR 51 million (2010: EUR 97 million). 

Fiscal unity 

Together with Achmea Bank Holding N.V. and its subsidiaries, Achmea Hypotheekbank forms a fiscal unity with Achmea B.V. for 

corporate tax purposes, with each of the companies liable, according to the standard terms and conditions, for the payment of 

taxes of all companies in the fiscal unity. 

27. Related parties 

Identity of related parties 

Achmea Hypotheekbank has transactions with related parties. Related parties are other companies within the group and 

members of the Supervisory and Executive Boards of Achmea Hypotheekbank. Rabobank is an important shareholder 

of Achmea and also deemed to be a related party. Within the scope of ordinary business operations a number of banking 

transactions takes place with related parties. 

Under the item deposits an amount of EUR 2.5 billion (2010: EUR 1.5 billion) is included for deposits and intercompany loans 

relating to group companies. 

In addition, the subordinated liabilities (see note 15) include an amount of EUR 70 million (2010: EUR 76 million) for loans from 

group companies or affiliated companies. 

Under Funds entrusted, an amount of EUR 0.8 billion (2010: EUR 0.9 billion) has been included for liabilities to non-banking 

institutions within Achmea B.V. 

The movements in loans and advances from and to related parties are a result of repayments and additional borrowings. 

Analysis of receivables, debts and loans on the consolidated statement of financial position 


Assets 

Loans and advances to banks 1,129 50,036 

Derivative assets held for risk management 339 630 


3,952 52,827 

Liabilities 

Deposits from banks 2,484,942 1,461,854 


Accruals and other liabilities 4,523 3,000 

Secured bank loans 142,145 - 

Subordinated liabilities 69,726 75,985 

3,522,949 2,432,328 


65

Receivables from related parties 


Achmea B.V. 339 630 

Achmea Personeel B.V. 671 694 

Achmea Bank Holding N.V. 444 - 

Achmea Retail Bank N.V. 445 151 

AP&L Investments B.V. 925 1,316 

Staalbankiers N.V. 1,129 50,036 

3,952 52,827 

Overview loans and advances to related parties 


Achmea Bank Holding N.V. 13,433 19,831 

Achmea Diensten B.V. 231 224 

Achmea Retail Bank N.V. 2,473,750 1,443,839 

Syntrus Achmea Vastgoed B.V. - 58,214 

Agis Zorgverzekeringen N.V. 6,277 - 

Achmea Pensioen- en Levensverzekering N.V. 782,711 659,781 

Friends First Life Assurance Ltd 6,702 - 

Imperio Life Helenic Life Insurance SA 4,613 4,110 

Interamerican Health General Insurance 7,215 26,277 

Interamerican Hellenc Life Insurance SA 78,316 79,111 

Interamerican Property and Casualty SA 37,627 55,655 

Interamerican Road Assistance SA 5,203 9,210 

Medifirst 800 - 

Staalbankiers N.V. 36,000 - 

Achmea B.V. 70,071 67,076 

3,522,949 2,432,328 

Interest income on account of receivables to related parties 


Staalbankiers N.V. 118 65 

118 65 

66

Interest expenses on account of loans and advances to related parties 


Achmea Bank Holding N.V. 153 71 

Achmea Retail Bank N.V. 51,699 24,273 

Agis Zorgverzekeringen N.V. 249 855 

Achmea Pensioen- en Levensverz N.V. 114 37,980 

Syntrus Achmea Vastgoed B.V. 360 549 

Avéro Pensioenverzekeringen N.V. - 1,559 

Achmea Schadeverzekeringen N.V. - 410 

Imperio Life Helenic Life Insurance SA 53 31 

Interpolis BTL N.V. 41,272 133 

Friends First Life Assurance Ltd 2 - 

Interamerican Health General Insurance 266 220 

Interamerican Hellenic Life Insurance SA 1,018 712 

Interamerican Property and Casualty SA 772 490 

Staalbankiers N.V. 285 226 

Achmea B.V. 7,377 70 

FBTO Leven - 494 

103,619 68,073 

Commission expenses related parties 


Achmea Diensten B.V. 2,904 3,608 

2,904 3,608 

Other income related parties 


Achmea Retail Bank N.V. 362 165 

362 165 

Other expenses related parties 


Achmea Diensten B.V. - 292 

Achmea B.V. 28,661 30,123 

Staalbankiers N.V. - 279 

28,661 30,694 

Sales-related commission on the mortgage business paid by Achmea Hypotheekbank to the Direct Distribution Division and the 

Intermediary Distribution Division is amortised over the estimated remaining life of the mortgage loans. 


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Transactions with Intermediary Distribution Division 

The products of Achmea Hypotheekbank are sold through the Intermediary Distribution Division among other outlets. This division 

is a part of Achmea B.V. 

28. Executive Board and Supervisory Board 

Remuneration of Executive Board members 


Short term employee benefit 543 877 

Long term employee benefit 155 187 

698 1,064 

The long term employee benefits reflect the pension liabilities, forming part of the remuneration of Executive Board members. 

Remuneration of Supervisory Board members 


Short term remunerations 87 69 

87 69 

No deposits were held in the name of members of the Executive Board and Supervisory Board. 

For the composition of the Executive Board and the Supervisory Board, reference is made to the report of the Supervisory 

Board and the report of the Executive Board. 

Loans and advances to Supervisory Board members 

A mortgage loan is granted to one of the Supervisory Board members. The interest rates vary from 3.9% to 5.1%. 

The outstanding amount per December 2011 amounts to EUR 0.4 million (2010 EUR 0.4 million). There were no prepayments 

during the year. 

29. Subsequent events 

No events have occurred with important financial consequences or events with a specific significance. 

68

statement of financial position of achmea hypotheekbank N.V. 


(before profit appropriation) 


Assets 

Cash and cash equivalents 390,652 128,707 

Derivative assets held for risk management 813,533 710,469 

Loans and advances to banks 877,426 385,199 

Loans and advances to public sector 110,777 686,325 

Loans and advances to customers 8,402,240 8,333,394 

Interest-bearing securities 153,203 129,781 

Current tax assets 57,986 20,541 

Deferred tax assets 476 508 


Total assets 10,952,569 10,524,189 

Liabilities 

Derivative liabilities held for risk management 1,187,446 796,198 

Deposits from banks 2,737,437 1,813,970 


Debt securities issued 5,635,149 6,262,914 

Deferred tax liabilities 67,158 23,657 

Accruals and other liabilities 12,658 11,436 

Subordinated liabilities 107,775 173,715 

Total liabilities 10,463,907 9,994,735 

Share capital 18,152 18,152 

Share premium 269,206 269,206 

Reserves 201,304 242,098 

Shareholders’ equity 488,662 529,456 

Total equity and liabilities 10,952,569 10,524,189 


69

statement of comprehensive income 



Net profit -41,541 46,327 

Net profit of the year -41,541 46,327 

70

statement of changes in company equity 

In thousands of euros Share Share Fair Retained Reserves Total 

capital premium value earnings equity 

reserve 

Balance at 1 January 2011 18,152 269,206 1,504 46,327 194,267 529,456 

Total comprehemsive income for the period 

Profit or loss - - - -41,541 - -41,541 

Other comprehemsive income, net of income tax 


Net change in fair value - - 747 - - 747 

Total comprehensive income for the period - - 747 -41,541 - -40,794 



Distributions of profit 2010 - - - -46,327 46,327 - 


Balance at 31 December 2011 18,152 269,206 2,251 -41,541 240,594 488,662 

In thousands of euros Share Share Fair Retained Reserves Total 

capital premium value earnings equity 

reserve 

Balance at 1 January 2010 18,152 269,206 2,748 50,111 144,156 484,373 

Total comprehemsive income for the period 

Profit or loss - - - 46,327 - 46,327 

Other comprehemsive income, net of income tax 


Net change in fair value - - -1,244 - - -1,244 

Total comprehensive income for the period - - -1,244 46,327 - 45,083 



Distributions of profit 2009 - - - -50,111 50,111 - 


Balance at 31 December 2010 18,152 269,206 1,504 46,327 194,267 529,456 

As at 31 December 2011, the authorised share capital amounted to EUR 90.8 million, divided into 200,000 ordinary shares 

(2010: 200,000), each with a nominal value of EUR 453.78. As at 31 December 2011, 40,001 (2010: 40,001) shares had been 

issued and paid up in full. The fair value reserve comprises the cumulative net gains and losses on the fair value of the financial 

assets that are classified as available for sale. 

The retained earnings comprise of the net loss of 2011. 

The reserves comprise the retained earning of prior years and the legal reserve (EUR 0.7 million) for the financial assets at fair 

value through profit and loss. The fair value of the financial assets at fair value through profit and loss exceeds the cost price by 

EUR 0.7 million. 


71

Notes to the company financial statements 

General 

The company financial statements form part of the consolidated financial statements of Achmea Hypotheekbank N.V. 

As the financial information of Achmea Hypotheekbank N.V. is included in the consolidated financial statements, the statement 

of comprehensive income of Achmea Hypotheekbank N.V. is condensed in conformity with section 402 of Book 2 of The 

Netherlands Civil Code. 

In respect to the measurement basis for assets and liabilities and for determination of the results, Achmea Hypotheekbank 

has made use of the option in Section 2:362 (8) of the Netherlands Civil Code. This means that the accounting policies used 

are identical to the IFRS standards applied to the consolidated financial statements of Achmea Hypotheekbank. These IFRS 

standards are in line with the standards as of 31 December 2011 endorsed by the European Union. 

Where the items in the company financial statements are not explained, reference is made to the notes to the consolidated 

financial statements. 

Prior period adjustments 

In the 2010 annual report the underlying assets and liabilities of the SPVs were included in the financial position of Achmea 

Hypotheekbank on a gross basis. As from 2011 we have adjusted the presentation of the financial position of Achmea 

Hypotheekbank to a nett basis. 

Therefore the comparative figures of 2010 have been adjusted. The adjustments of the comparative figures have no impact on 

the Statement of Equity and Statement of Comprehensive income. 

The impact on the comparative figures on the balance sheet concentrate on the balance sheet items loans and advances to 

customers (EUR 6.2 billion), debt securities issued (EUR 1,0 billion) and liabilities from group companies (EUR 5,1 billion). 

72

Independent auditor’s report 

To: the General Meeting of Shareholders of Achmea Hypotheekbank N.V. 

Report on the financial statements 

We have audited the accompanying financial statements 2011 as set out on pages 19 to 72 of Achmea Hypotheekbank N.V., the 

Hague, which comprise the consolidated and company statement of financial position as at 31 December 2011, the consolidated 

and company statements of comprehensive income, changes in equity and cash flows for the year then ended and the notes, 

comprising a summary of significant accounting policies and other explanatory information. 

Executive board’s responsibility 

Executive board is responsible for the preparation and fair presentation of these financial statements in accordance with 

International Financial Reporting Standards as adopted by the European Union and with Part 9 of Book 2 of the Dutch Civil 

Code, and for the preparation of the report of the executive board in accordance with Part 9 of Book 2 of the Dutch Civil Code. 

Furthermore, executive board is responsible for such internal control as it determines is necessary to enable the preparation of 

the financial statements that are free from material misstatement, whether due to fraud or error. 

Auditor’s responsibility 

Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in 

accordance with Dutch law, including the Dutch Standards on Auditing. This requires that we comply with ethical requirements 

and plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material 

misstatement. 

An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. 

The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of 

the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control 

relevant to the company’s preparation and fair presentation of the financial statements in order to design audit procedures that 

are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the company’s 

internal control. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of 

accounting estimates made by the executive board, as well as evaluating the overall presentation of the financial statements. 

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. 

Opinion 

In our opinion, the financial statements give a true and fair view of the financial position of Achmea Hypotheekbank N.V. as at 31 

December 2011, and of its result and its cash flows for the year then ended in accordance with International Financial Reporting 

Standards as adopted by the European Union and with Part 9 of Book 2 of the Dutch Civil Code. 

Report on other legal and regulatory requirements 

Pursuant to the legal requirement under Section 2: 393 sub 5 at e and f of the Dutch Civil Code, we have no deficiencies to report 

as a result of our examination whether the report of the executive board, to the extent we can assess, has been prepared in 

accordance with Part 9 of Book 2 of this Code, and whether the information as required under Section 2: 392 sub 1 at b-h has been 

annexed. Further we report that the report of the executive board, to the extent we can assess, is consistent with the financial 

statements as required by Section 2: 391 sub 4 of the Dutch Civil Code. 

Amsterdam, 7 March 2012 

PricewaterhouseCoopers Accountants N.V. 

G.J. Heuvelink RA 


73

Profit appropriation according to the articles of association 

The appropriation of profits is subject to Article 35 of the Articles of Association of Achmea Hypotheekbank N.V., as follows: 

Profits and losses 

Article 35 

35.1. Profits shall be at the unrestricted disposal of the General Meeting; 

35.2. Profits shall only be distributed after the adoption of financial statements showing that such distribution is permissible; 

35.3. Dividends shall be made payable four weeks after their declaration, unless another date is determined by the General 

Meeting on the recommendation of the Executive Board. Dividends that have not been collected within five years of 

becoming payable shall accrue to the company; 

35.4. Without prejudice to the provisions of Article 6, if decided by the General Meeting on the recommendation of the Executive 

Board, an interim dividend shall be distributed, including an interim distribution from the reserves, subject to the 

provisions of Section 105(4), Book 2, of the Netherlands Civil Code; 

35.5. The General Meeting may resolve that dividends be distributed, in whole or in part, in a form other than cash; 

35.6. The company shall only be entitled to make payments to the shareholders and other parties entitled to distributable 

profits if its shareholders’ equity exceeds the amount of the issued capital plus the reserves to be maintained by law; 

35.7. A deficit shall only be set against the reserves required by law to the extent that the law permits. 

74

Proposal for profit appropriation 

It is proposed that the General Meeting of Shareholders add the net loss after tax for 2011, amounting to EUR 42 million, to the 

reserves. The profit after tax for 2010 has been recognised in shareholders’ equity as retained earnings. 


75


Spoorlaan 298, 5017 JZ Tilburg, The Netherlands 

P.O. Box 54, 7300 AB Apeldoorn, The Netherlands 

Phone +31 13 461 20 00 

www.achmeamortgagebank.nl 

Chamber of Commerce The Hague no. 30124926

Achmea Hypotheekbank N.V. annual report 2011

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