Dai ichi Life Insurance : Disclosure of European Embedded Value as of September 30, 2015

20969fe2-dd76-4c35-bcf7-7c43e67c087d.pdf

November 18, 2015

Koichiro Watanabe President and Representative Director

The Dai-ichi Life Insurance Company, Limited Code: 8750 (TSE First section)

Disclosure of European Embedded Value as of September 30, 2015

The Dai-ichi Life Insurance Company, Limited (hereinafter "Dai-ichi Life") hereby discloses the European Embedded Value ("EEV") of Dai-ichi Life, Dai-ichi Frontier Life Insurance Co., Ltd (hereinafter "Dai-ichi Frontier Life" or "DFL"), TAL Dai-ichi Life Australia Pty Limited (hereinafter "TAL") and Protective Life Corporation (hereinafter "Protective Life") (collectively, the "Group") as of September 30, 2015.

Contents

1. Outline

2. EEV Principles

3. EEV Methodology

   
   

4. EEV as of September 30, 2015

5. EEV Results of the Group 2-1-1 Adjusted Net Worth

   2-1-2 Value of In-force Business 2-1-3 Value of New Business

6. EEV by Company




7. Movement Analysis

   3-1 Movement Analysis of Group EEV 3-2 Movement Analysis by Company

   
   

8. Sensitivity Analysis

   4-1 Sensitivity Analysis of Group EEV 4-2 Sensitivity Analysis by Company

   
   

9. Note on Using EV




Appendix A: EEV Methodology

Appendix B: Principal EEV Assumptions (Dai-ichi Life, DFL and TAL) Appendix C: EEV Methodology and Assumptions of Protective Life Appendix D: Actuarial Opinion

Appendix E: Glossary

1. Outline

   
   
2. EEV Principles

   The EEV Principles and related guidance were published in May 2004 by the CFO Forum, an organization comprising the chief financial officers of Europe's leading life insurers, in order to improve consistency and transparency in embedded value reporting. In October 2005, further guidance on minimum required disclosures of sensitivities and other items was provided by the CFO Forum.

   
   

3. EEV Methodology

   In the calculation of EEV, the Group has mainly adopted a market-consistent approach. More specifically, the EEV for Dai-ichi Life, Dai-ichi Frontier Life, TAL and variable annuity (hereinafter "VA") business of Protective Life are calculated based on a market-consistent approach, while the EEV for non-VA businesses of Protective Life is calculated based on a top-down approach.

   A market-consistent approach is an approach which values cash flows from both assets and liabilities of a company consistently with comparable financial instruments traded in the market. A number of insurers, mainly in Europe, have implemented similar market-consistent approaches. A top-down approach is an approach which calculates an enterprise value using a discount rate which is determined in accordance with the risk characteristics of a company, business, product or geographic region. Both approaches are permitted under the EEV Principles.

   The Group has fully adopted the EEV Principles, while also taking into account a market-consistent approach, in calculating its EV.

4. EEV as of September 30, 2015




2-1 EEV Results of the Group

The EEV of the Group as of September 30, 2015 decreased compared to the end of the previous fiscal year mainly due to a decrease in unrealized gains for Dai-ichi Life, attributable to stock market losses and a decrease in the prices of bonds held by Dai-ichi Life caused by higher foreign interest rates. The EEV of the Group as of September 30, 2015 is as follows:

(billions of yen)




March 31, 2015	September 30, 2015	Increase (Decrease)
EEV		5,779.6	5,626.5	(153.1)
Adjusted net worth	5,540.8	5,015.1	(525.6)
Value of in-force business	238.8	611.3	372.5




Six months ended September 30, 2014	Six months ended September 30, 2015	Increase (Decrease)
Value of new business	137.1	140.5	3.4

Year ended March 31,

2015




274.0




(Note 1) The Group EEV is calculated as follows: Dai-ichi Life's EEV plus DFL's, TAL's and Protective Life's EEV attributable to Dai-ichi Life's equity stake in DFL, TAL and Protective Life less Dai-ichi Life's carrying amount of equity of DFL, TAL and Protective Life. Dai-ichi Life held 100.0% of the shares of DFL, TAL and Protective Life as of March 31, 2015 and as of September 30, 2015.

(Note 2) Dai-ichi Life's carrying amount of DFL's equity was ¥181.9 billion as of March 31, 2015 and as of September 30, 2015. Dai-ichi Life's carrying amount of TAL's equity was ¥154.5 billion as of March 31, 2015 and ¥157.2 billion as of September 30, 2015. Dai-ichi Life's carrying amount of Protective Life's equity was ¥578.3 billion as of March 31, 2015 and as of September 30, 2015.

(Note 3) Protective Life became a wholly owned subsidiary of Dai-ichi Life on February 1, 2015. The Group EEV as of March 31, 2015 and as of September 30, 2015 includes Protective Life's EEV as of February 1, 2015 and as of June 30, 2015, respectively, in accordance with Protective Life's closing date for the Group's consolidated financial statements. Group's value of new business for the six months ended September 30, 2015 includes Protective Life's value of new business for the five months ended June 30, 2015. Group's value of new business for the six months ended September 30, 2014 and for the year ended March 31, 2015 do not include value of new business of Protective Life.