Dai ichi Life : Disclosure of European Embedded Value as of March 31, 2021

[Unofficial translation]

May 20, 2021

Seiji Inagaki

President and Representative Director

Dai-ichi Life Holdings, Inc.

Code: 8750 (TSE First section)

Disclosure of European Embedded Value as of March 31, 2021

Dai-ichi Life Holdings, Inc. (hereinafter "Dai- ichi Life Holdings") hereby discloses the European Embedded Value ("EEV") of Dai-ichi Life Group (hereinafter "the Group"). The Group EEV includes the EEV of the Dai-ichi Life Insurance Company, Limited

(hereinafter	"Dai- ichi Life"), The Dai-ichi	Frontier	Life	Insurance	Co., Ltd (hereina fter
"Dai- ichi Frontier	Life"	or "DFL"), The	Neo First	Life	Insurance	Company, Limited
(hereinafter	"Neo	First	Life" or	"NFL"),	Protective	Life	Corporation	(hereina fter
"Protective	Life")	and TAL Dai-ichi	Life Australia Pty Limited	(hereinafter	"TAL") and
the EV of Dai-ichi	Life	Insurance Company	of Vietnam,	Limited (hereinafter "Dai- ic h i

Life Vietnam" or "DLVN") calculated using traditional embedded value ("TEV") methodology.

In addition, for calculation of the EEV as of March 31, 2021 and the value of new business for the year ended March 31, 2021, the following items have been changed.

• The ultimate forward rate and the last liquid data point used for the extrapolation of Japanese interest rates
• Calculation method for Dai-ichi Frontier Life

These changes are consistent with the calculation of ESR (Economic solvency ratio) used as the internal model. For consistent valuation, the EEV as of March 31, 2021 and value of new business for the year ended March 31, 2021 are disclosed together with the results using the method before these changes. In this document, the results before the above changes are referred to as (Reference: Before the changes) and are disclosed for reference.

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[Unofficial translation]

Index

1.	Outline .........................................................................................................................	3
	1-1	EEV Princ iples ............................................................................................................	3
	1-2	EEV Methodology .......................................................................................................	3
2.	EEV as of March 31, 2021 .........................................................................................	5
	2-1	Group EEV..................................................................................................................	5
	2-2	EEV by Company ......................................................................................................	14
3.	Move me nt Analysis ..................................................................................................	30
	3-1	Movement Analysis of Group EEV .............................................................................	30
	3-2	Movement Analysis by Company ................................................................................	34
4.	Se nsitivity Analysis ..................................................................................................	39
	4-1	Sensitivity Analys is of Group EEV .............................................................................	39
	4-2	Sensitivity Analys is by Company ................................................................................	42
5.	Note on Using EV .....................................................................................................	48
Appendix A: EEV Methodology ......................................................................................	49
Appendix B: EEV Assumptions (Dai- ichi Life, DFL, NFL, TAL and DLVN) .............	55
Appendix C: EEV Methodology and Assumptions of Protective Life ..........................	63
Appendix D: Actuarial Opinion........................................................................................	70
Appendix E: Glossary .......................................................................................................	72

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[Unofficial translation]

1. Outline

1-1 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. In May 2016, the CFO Forum issued amended EEV Principles and guidance, where the disclosure requirements have been amended, allowing flexibility while ensuring that the scope of a company's disclos ur es is commensurate with the EV results shown and the level of disclosures is sufficient to enable users to understand the methodology and assumptions, key judgements and sensitivities of results to changes in key assumptions.

1-2 EEV Methodology

In the calculation of EEV, the Group has mainly adopted a market-consistent approach. Specifically, it is as shown in the table below.

Covered business		Methodology
Dai-ichi	Life, Neo First Life, TAL and
variable	annuity	(hereinafter "VA")	Market-consistent approach
business	of Protective Life
Dai-ichi	Frontier	Life	Market-adjusted valuation approach
Non-VA business	of Protective Life	Top-down approach.
DLVN			Traditional approach (TEV)

A market-consistent approach is an approach which values cash flows from both assets and liabilities of a company consistently with comparable fina ncial instruments traded in the market. A number of insurers, mainly in Europe, have implemented similar market-consistent approaches. A market-adjusted valuation approach is based on the valuation by the market-consistent approach, and attempts to value using a discount rate that reflects the spread rates of actual assets of the company, and is based on the discussion in the Insurance Capital Standard (ICS) being developed by the Internatio na l Association of Insurance Supervisors. 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. These approaches are permitted under the EEV Principles.

The EV of Dai-ichi Life Vietnam is calculated by using TEV methodology in the Group EEV calculation process.

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[Unofficial translation]

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

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[Unofficial translation]

2. EEV as of March 31, 2021

2-1 Group EEV

The Group EEV as of March 31, 2021 increased compared to the end of the previo us fiscal year mainly due to an increase in unrealized gains on domestic securities. The Group EEV as of March 31, 2021 is as follows:

(billions of yen)

			March 31,	March 31,	Increase
			2020	2021	(Decrease)
Group EEV	5,621.9	6,971.1	+1,349.2
	Covered business EEV	5,761.3	6,997.1	+1,235.8
		Adjusted net worth	6,629.3	6,962.2	+332.8
		Value of in-force business	(868.0)	34.9	+903.0
	Adjustment related to non-covered business	(139.3)	(25.9)	+113.3
			Year ended	Year ended	Increase
			March 31,	March 31,
			(Decrease)
			2020	2021
Value of new business	150.3	127.1	(23.1)

(Note 1)Covered business EEV as of March 31, 2020 and as of March 31, 2021 is calculated as follows: Dai-ichi

Life's EEV plus DFL's, NFL's, Protective	Life's, TAL's EEV and DLVN's TEV attributable	to Dai-ichi Life
Holdings'	equity stake in Dai-ichi Life,	DFL, NFL, Protective Life, TAL and DLVN less	Dai-ichi Life's
carrying amount of preferred	equity of TAL, provided that DFL's EEV includes that of the Dai-ichi Life
Reinsurance Bermuda Ltd (hereinafter	"Dai-ichi Re".) Dai-ichi Life Holdings held 100.0% of the shares
of Dai-ichi Life, DFL, NFL, Protective	Life, TAL and DLVN as of March 31, 2020 and as of March 31, 2021
(i.e., including indirect holding	of TAL's preferred equity	through Dai-ichi Life, which was ¥18.1 billion as
of March 31, 2020, and ¥21.2 billion as of March 31, 2021).
(Note 2)Adjustment	related to non-covered business as of March 31, 2020 and as of March 31, 2021 includes total
net assets	of non-consolidated	Dai-ichi	Life Holdings, the unrealized gains (losses) of assets and liabiliti es
of Dai-ichi Life Holdings and deduction	of Dai-ichi Life	Holdings' carrying amount of equity of Dai-ichi
Life, DFL, NFL, Protective Life and TAL and investment in capital of DLVN, which is as follows:
Dai-ichi Life Holdings' carrying amount of equity of the subsidiary insurance companies
								(billions of yen)
				M arch 31, 2020		M arch 31, 2021
	Dai-ichi Life				430.0		430.0
	Dai-ichi Frontier Life				181.9		181.9
	Neo First Life				4.7		34.7
	Protective Life				605.4		605.4
	TAL					159.4		159.4
	Dai-ichi Life Vietnam				38.9		38.9

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