Aegon Asset Management is the global investment management brand of the Aegon Group N.V. Fixed income strategies described herein are offered by Aegon Asset Management US. See disclosures for more detail.

For institutional investor use only

SUSTAINABILITY REPORT: SUSTAINABLE FIXED INCOMEMobilizing capital to pursue sustainable alpha and help contribute to a more sustainable future

March 2020

CONTENTS

2 Sustainable Fixed Income Overview

3 Sustainability Investment Themes

4 Sustainable Development Goals

5 Societal Impact

6 Environmental Impact

7 Engagement Activity

A secular sustainability shift is underway. Forces such as engaged citizenry and changing consumer preferences have contributed to an increased focus on sustainability that spans businesses, governments and society. This shift presents opportunities for investors to align with and potentially benefit from sustainability megatrends. We aspire to invest alongside and be part of the solution by mobilizing capital to pursue sustainable alpha and contribute to a more sustainable global economy.

Leveraging our rich history of responsible investing and time-tested fixed income capabilities, we developed the Sustainable Fixed Income strategy, a sustainability-themed approach to multi-sector fixed income investing. The strategy may invest in a wide range of fixed income securities – corporate bonds, sovereign debt, structured securities and municipal bonds – that may enhance the sustainability of the global economy and society.

The strategy’s primary focus is to generate sustainable alpha by outperforming the benchmark over the long term. Secondarily, the strategy may allow investors to contribute to positive change. This report summarizes the sustainability profile and positive social and environmental impact of our Sustainable Fixed Income strategy.

By aligning with sustainability themes and engaging with companies, we believe sustainable fixed income investing can help clients pursue better long-term outcomes for their portfolios and the world around them.

Sustainability Summary

Source: Aegon AM US. Reflects characteristics for the Sustainable Fixed Income composite as of March 31, 2020. 1Excludes cash and cash equivalents. 2Weighted average issuer alignment is based on the market value of the holdings in the composite and depicts the percentage of the issuer’s revenues, products and services, assets, collateral and/or capital that is aligned with one or more sustainable initiatives as identified by Aegon AM US. The calculation excludes government securities, cash and cash equivalents. Alignment with sustainability initiatives is based on Aegon AM US’ proprietary sustainability assessment methodology that is customized by issuer type.

Sustainability defined We define sustainability as a global economic state that meets the needs and aspirations of people today and in the future, while protecting and improving the environment and preserving the quality of life for all.

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SUSTAINABLE FIXED INCOME: A THEMATIC APPROACH TO A SUSTAINABLE FUTURE

CO2

Fully invested in issuers aligned with

sustainable initiatives1

Alignment with 13 of the 17 UN Sustainable

Development Goals

69% of issuers’ businesses2 are aligned with sustainable goals

on average

48% lower weighted average carbon

emissions intensity relative to the index

The shift toward sustainability affects a broad array of industries, presenting opportunities to invest alongside various sustainable initiatives, or megatrends. Using a proprietary sustainability assessment process, the firm identifies issuers with products, services, assets and business practices that may contribute to the long-term sustainability of the global economy, environment and society.

A Sustainable Investment Committee scrutinizes issuers' sustainability profiles, determines the investable universe and assigns issuers into one of five impact categories and sustainability pillars. Additionally, the committee matches each issuer’s products and services back to the United Nations’ Sustainable Development Goals (SDGs) and sets the percentage of alignment with identified sustainable initiatives.

By investing in impact leaders, influencers and improvers across five key pillars—Climate Change, Eco Solutions, Resource Efficiency, Health and Well-being and Sustainable Growth—we believe the Sustainable Fixed Income strategy can help our clients pursue better long-term outcomes.

Sustainability pillar allocation

Sustainability themes allocation

3

Sustainability themes

Climate Change Description: Reducing pollution and energy waste through innovative products and services as well as environmentally conscious assets

Investable sectors: Environmental services, SASB CMBS, REITs and green bonds

Eco Solutions Description: Protecting and improving the ecosystem of our planet through innovative products and services

Investable sectors: Cloud-based computing technology, data center ABS, automotives and solar ABS

Resource Efficiency Description: Reducing finite resource use by encouraging circular economies and sustainable agriculture

Investable sectors: Sustainable agriculture, industrials and commercial PACE

Health and Well-being Description: Enhancing human well-being through better healthcare, nutrition, hygiene and access to educational services

Investable sectors: Consumer products, pharmaceuticals, student loan ABS

Sustainable Growth Description: Supporting sustainable cities and communities through affordable housing, mass transit and stable and effective governments

Investable sectors: Agency MBS, sovereigns and transportation

Source: Aegon AM US. Reflects characteristics for the Sustainable Fixed Income composite as of March 31, 2020. Weighted average issuer alignment is based on the market value of the holdings in the composite and depicts the percentage of the issuer’s revenues, products and services, assets, collateral and/or capital that is aligned with one or more sustainable initiatives as identified by Aegon AM US. The calculation excludes government securities, cash and cash equivalents. Alignment with sustainability initiatives is based on Aegon AM US’ proprietary sustainability assessment methodology that is customized by issuer type.

Sustainable Growth 58.2%

Eco Solutions 14.8%

Climate Change 13.3%

Health & Well-being 12.0%

Resource E�ciency 1.8%

Category 1: Impact Leader 51.5%

Category 2: Impact Influencer 32.6%

Category 3: Impact Improver 15.7%

SUSTAINABILITY INVESTMENT THEMES

Our sustainability pillars align with the Sustainable Development Goals

Sustainable Fixed Income supports many Sustainable Development Goals As of March 31, 2020

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Sustainable Development Goal AllocationComposite

Allocation %

#1 No poverty 0.20%

#2 Zero hunger 1.99%

#3 Good health and well-being 4.83%

#4 Quality education 4.36%

#5 Gender equality 10.95%

#6 Clean water and sanitation 1.83%

#7 Affordable and clean energy 15.24%

#8 Decent work and economic growth 0.06%

#9 Industry, innovation and infrastructure 7.12%

#10 Reduced inequalities 0.00%

Composite Allocation %

#11 Sustainable cities and communities 26.63%

#12 Responsible consumption and production 1.16%

#13 Climate action 0.23%

#14 Life below water 0.00%

#15 Life on land 0.00%

#16 Peace, justice and strong institutions 25.39%

#17 Partnerships for the goals 0.00%

Climate change

Resource efficiency

Eco solutions

Health & well-being

Sustainable growth

The United Nations’ Sustainable Development Goals provide a broad framework for determining sustainability. Using the 17 universally agreed-upon goals, the firm identifies issuers and fixed income securities with products, services, assets or business practices aligned with long-term sustainable initiatives, all of which can be linked back to the Sustainable Development Goals.

CATALYSTS FOR CHANGE: SUPPORTING THE SUSTAINABLE DEVELOPMENT GOALS

Source: Aegon AM US. Reflects characteristics for the Sustainable Fixed Income composite.

The Sustainable Fixed Income strategy invests in many securitized holdings that we believe help provide a positive social impact. From providing inclusive financing and affordable education to financing renewable energy projects and green building initiatives, securitized credit has significant potential to effect positive social change.

5

Sample investments for illustrative purposes only. The information above is provided for illustrative purposes only and should not be relied upon for investment decisions. It should not be assumed that the securities or asset classes referenced or securities purchased for any portfolio were or will be profitable. It should not be assumed that any portfolio client portfolio will reflect the results of the examples shown. As of March 31, 2020. Source: Reflects deal characteristics from various sources including Aegon AM, Intex, issuer reports, Bloomberg and DBRS as well as investor and analyst reports. May include estimates.

Securitized Credit - Examples of Social ImpactAs of March 31, 2020

LEED buildingsSingle asset / single borrower (SASB) CMBS has provided capital to 18 LEED properties (Silver, Gold and Platinum) representing 21.6 million square feet of mixed use space and 754 multifamily units.

Small business financingSmall business ABS financed over 1,500 loans to small businesses with an average outstanding balance of approximately $120,000

Solar financingSolar ABS holdings are secured by over 182,000 contracts for financing primarily residential photovoltaic systems.

Residential mortgagesTen re-performing loan securitizations represent financing for an estimated 65,000 modified residential mortgages

Multifamily housingFreddie K CMBS holdings back loans secured by almost 55,000 multifamily housing units.

Student loansPrivate student loan portfolio facilitated refinancing of over 37,000 loans with an average $55,000 balance.

SOCIAL IMPACT

Carbon Footprint: Sustainable Fixed Income vs. Benchmark As of March 31, 2020

Estimated relative carbon intensity given amount invested1 Sustainable Fixed Income has shown 39% lower relative intensity per amount invested

Estimated relative average carbon intensity2 Sustainable Fixed Income has shown 48% lower weighted average carbon intensity

Estimated Carbon Equivalency Statistics

Lower carbon emissions of the Sustainable Fixed Income portfolio is equivalent to greenhouse gas or CO2 emissions from:

Or greenhouse gases avoided and carbon sequestered by:

Sample for illustrative purposes. Not to be relied upon for investment decisions. Estimated carbon footprint equivalency statistics reflect the difference between the portfolio carbon intensity versus the benchmark per $1 million invested. The relative carbon intensity is then restated to reflect the current size of the portfolio corporate market value exposure. Equivalency statistics are sourced from the United States Environmental Protection Agency’s Greenhouse Gas Equivalencies Calculator last updated March 2020. Please note that these estimates are approximate and should not be used for emission inventory or formal carbon footprinting exercises.

Climate change is ubiquitously one of the most urgent risks facing the sustainability of our planet. While Sustainable Fixed Income is not explicitly a climate-themed product, the strategy’s focus on sustainable themes can translate into a lower carbon footprint on average relative to the benchmark. By focusing on allocating capital to low-carbon companies and issuers working to reverse the effects of climate change, we can help our clients be part of the climate-change solution.

Sustainable Fixed Income Bloomberg Barclays US Aggregate Index

Rel

ativ

e in

tens

ity(t

CO2e

/$1m

inve

sted

)

43

70

0

10

20

30

40

50

60

70

Sustainable Fixed Income Bloomberg Barclays US Aggregate Index

Wei

ghte

d av

erag

e ca

rbon

inte

nsity

(tCO

2e/$

1m re

venu

e)

154

296

0

50

100

150

200

250

300

ENVIRONMENTAL IMPACT: CARBON FOOTPRINT

6

935,619 pounds of coal

36,130 trash bags of waste recycled instead of

landfilled

2,107,010 miles driven by an average passenger vehicle

32,258 incandescent lamps switched to LEDs

98 homes' electricity usage for one year

14,040 tree seedlings grown for ten years

Source: Aegon AM and MSCI. Certain information ©2020 MSCI ESG Research LLC. Reproduced by permissions; no further distribution. Sample for illustrative purposes only. Based on a hypothetical investment of a million $ invested in the Sustainable Fixed Income Composite vs. the benchmark index. Not to be relied upon for investment decisions. Carbon footprint report is limited to corporate issuers with available carbon emissions data from MSCI. As a result, this is not reflective of all composite holdings or benchmark constituents. As of March 31, 2020, carbon data was available for 85% of the corporate issuers within the Sustainable Fixed Income composite and 88% of the issuers in the benchmark. This analysis excludes green bonds. Total carbon emissions reflects most recently reported or estimated scope 1 (all direct GHG emissions) and scope 2 (indirect GHG emissions from consumption of purchased electricity, heat or steam), as available. Scope 3 emissions are not included. 1Relative carbon intensity reflects the emissions attributed to an investment portfolio normalized for the amount invested. 2Weighted average carbon intensity reflects the emissions attributed to an issuer given the issuer’s annual revenues stated in USD millions. Holdings are subject to change daily. Carbon footprint characteristics will vary.

As long-term investors, we believe it’s our duty to be the voice of change today in an effort to improve financial outcomes and contribute to a more sustainable future. Our Responsible Investment team engages with issuers individually and collaboratively to encourage sustainable practices and growth of sustainable businesses. In order to effect change on a large scale, we leverage the size and scope of the broader Aegon organization to engage collectively. We also collaborate with other industry groups and asset managers to advance responsible practices and contribute to a more sustainable future.

Primary types of engagement

• Information engagement involves asking for further clarity on a particular issue or for more information in order to make a better determination on sustainability.

• Change engagement involves encouraging the company to change its product/service mix or business practices to be more sustainable.

• Issuance engagement involves reverse inquiry to the company to encourage green/social/sustainable bond issuance along with potential Aegon AM US support of that deal given certain conditions.

Engagement activity by milestone 111 total engagements since inception (April 2019)

Source: Aegon AM Responsible Investment Team. Reflects all corporate issuers that have been submitted by Aegon AM US’ research teams to the Sustainable Investment Committee for consideration in the Sustainable Fixed Income universe. Includes corporate issuers that have been deemed sustainable and others that have been deemed ineligible for which further engagement or action may be necessary. Does not include other sustainable investment candidates such as structured securities, sovereign debt and municipal bonds.

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Milestone 1 - Concerns have beenflagged 25.5%

Milestone 2 - Dialogue with thecompany 50.9%

Milestone 3 - Company has takenconcrete steps to resolve theissue 2.0%

Milestone 4 - Company has resolvedthe issued 0.0%

No further action required 21.7%

25.5%

50.9%

21.7%

2.0%

DRIVING CHANGE THROUGH ENGAGEMENT

8Contact us: aegoninvestments.com AdTrax: 2935140.3

Exp Date: 8/15/2020

Past performance is not indicative of future results. This material was created for institutional use and not for any other purpose. This communication is being provided for informational purposes in connection with the marketing and advertising of products and services. This material contains current opinions of the manager and such opinions are subject to change without notice. Aegon AM US is under no obligation, expressed or implied, to update the material contained herein. This material contains general information only on investment matters; it should not be considered a comprehensive statement on any matter and should not be relied upon as such. If there is any conflict between the enclosed information and Aegon AM US’ ADV, the Form ADV controls. The information contained does not take into account any investor's investment objectives, particular needs, or financial situation. Nothing in this material constitutes investment, legal, accounting or tax advice, or a representation that any investment or strategy is suitable or appropriate to you. The value of any investment may fluctuate. Investors should consult their investment professional prior to making an investment decision. Aegon AM US is not undertaking to provide impartial investment advice or give advice in a fiduciary capacity for purposes of any applicable federal or state law or regulation. By receiving this communication, you agree with the intended purpose described above.

Strategies described herein are supported in part by investment models and/or other analytical tools. These models or tools inform but do not dictate investment recommendations. There is no assurance that these models or tools will work as intended, produce accurate results, or be free from defects, all of which could impact investment performance. Models or tools may be discontinued or modified for any reason and without notice.

Hypothetical examples are for illustrative purposes only. Hypothetical or simulated examples have several inherent limitations and are generally prepared with the benefit of hindsight. There are frequently sharp differences between simulated results and actual results. In addition, there are numerous factors related to the markets in general or the implementation of any specific investment strategy which cannot be fully accounted for in the preparation of simulated results, yet all of which can adversely affect actual results. No guarantee is being made that results shown will be achieved.

References to specific securities or asset classes are not intended to represent the entire universe in which Aegon Asset Management US seeks investments. The holdings and asset classes listed should not be construed as investment advice or recommendations to buy or sell a particular security or invest in a particular asset class. Holdings for individual accounts may vary depending on a variety of things, including, but not limited to, the size of an account, cash flows within an account, and restrictions on an account.

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All investments contain risk and may lose value. Responsible investing is qualitative and subjective by nature, and there is no guarantee that the criteria utilized, or judgement exercised, by any company of Aegon Asset Management will reflect the beliefs or values of any one particular investor. Responsible investing norms differ by region. There is no assurance that the socially responsible investing strategy and techniques employed will be successful. Investors should consult their investment professional prior to making an investment decision.

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©2020 Aegon Asset Management US.

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