Dai ichi Life : EV Report

[Unofficial translation]

June 25, 2024

Tetsuya Kikuta

Representative Director, President

Dai-ichi Life Holdings, Inc.

Code: 8750 (TSE Prime section)

Disclosure of Embedded Value as of March 31, 2024

Dai-ichi Life Holdings, Inc. (hereinafter "Dai-ichi Life Holdings") has disclosed the European Embedded Value ("EEV") of Dai-ichi Life Group (hereinafter "the Group"). In preparation for the introduction of Economic Value-based Solvency Regulation (hereinafter "new regulations") at the end of fiscal year 2025, we have changed the measurement method (hereinafter "New Standard EV") based on the new standards in line with the new regulations for the three domestic companies from the end of March 2024. As for the overseas companies, there is no change in the calculation method from the end of March 2023.

In accordance with the above, The Group EV as of March 31, 2024, includes the EV of the Dai-ichi Life Insurance Company, Limited (hereinafter "Dai -ichi Life"), The Dai- ichi Frontier Life Insurance Co., Ltd (hereinafter "Dai-ichi Frontier Life" or "DFL"), The Neo First Life Insurance Company, Limited (hereinafter "Neo First Life" or "NFL"), Protective Life Corporation (hereinafter "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-ichi Life Vietnam" or "DLVN") and Partners Group Holdings Limited ("Partners Life" or "PNZ") calculated using traditional embedded value ("TEV") methodology.

(Note) The figures for the three domestic companies (Dai -ichi Life, DFL and NFL) and the Group as of March 31, 2023, were retroactively changed to measurements based on the new standards in the "Response to New Economic Value-based Solvency Regulation" conference call for institutional investors and analysts released on February 28, 2024. The figures have been retroactively adjusted to reflect the new standards.

1

[Unofficial translation]

Index

1.	Outline	3
2. EV as of March 31, 2024	4
	2-1	Group EV	4
	2-2	Adjustment related to non-covered business	5
	2-3	Value of New Business	6
	2-4	EV of Dai-ichi Life	6
3.	Movement Analysis	7
	3-1	Movement Analysis of Group EV	7
	3-2	Movement Analysis of Dai-ichi Life	9
4.	Sensitivity Analysis	10
	4-1	Sensitivity Analysis of Group EV	10
	4-2	Sensitivity Analysis of Dai-ichi Life	12
5.	Note on Using EV	13
Appendix A: EV Methodology	14
	1. Covered Business	14
	2. Value of new business (Dai-ichi Life, DFL, NFL and TAL)	15
Appendix B: Principal EV Assumptions (Dai -ichi Life, DFL, NFL, TAL, DLVN and
PNZ)	..................................................................................................................................	16
	1. Economic assumptions and discount rate	16
	2. Non-economic assumptions	19
Appendix C: EEV Methodology and Assumptions of Protective Life	20
	1. Adjusted Net Worth ("ANW")	20
	2. Value of in-force business("VIF")	21
	3. Value of new business	21
	4. Economic Assumptions	22
	5. Non-economic assumptions	24
	6. Exchange rate	24

2

[Unofficial translation]

1. Outline

EV is one of the indicators of the corporate value of a life insurance company attributable to shareholders.

Currently, the International Association of Insurance Supervisors (IAIS) is studying international insurance capital standards and is developing ICS (International Capital Standards), a capital regulation for internationally active insurance groups called IAIG. In Japan, Economic Value-based Solvency Regulations are being considered for introduction at the end of FY2025.

New Standard EV is calculated based on the net assets on the economic value-based balance sheet. New Standard EV is defined as shareholder value as a going concern with existing contracts, while economic value-based capital is defined as the ability to absorb losses in the event of liquidation, and various adjustments have been made to account for the differences in the purposes for which the two are used.

Calculation methodologies of each company are as shown in the table below.

Covered business	Methodology
Dai-ichi Life, DFL and NFL	New Standard EV
TAL and
Variable annuity (hereinafter "VA")	Market-adjusted valuation approach
business of Protective Life
Non-VA business of Protective Life	Top-down approach
DLVN and PNZ	Traditional approach

3

[Unofficial translation]

2. EV as of March 31, 2024

2-1 Group EV

The Group EV as of March 31, 2024 increased compared to the end of the previous fiscal year mainly due to the rise of stock prices. The Group EV as of March 31, 2024 is as follows:

(billions of yen)

		March 31,	March 31,	Increase
		2023	2024	(Decrease)
Group EV	7,074.3	8,892.1	+1,817.8
	Covered business EV	7,237.4	8,990.4	+1,753.0
	Adjustment related to non-covered business	(163.2)	(98.3)	+64.9
		Year ended	Year ended	Increase
		March 31,	March 31,
		(Decrease)
		2023	2024
Value of new business	77.8	54.5	(23.3)

(Note 1)Covered business EV as of March 31, 2023 and as of March 31, 2024 is calculated as follows: Dai-ichi Life's EV plus DFL's, NFL's, Protective Life's, TAL's EV and DLVN's, PNZ'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. Dai-ichi Life Holdings held 100. 0% of the shares of Dai-ichi Life, DFL, NFL, Protective Life, TAL and DLVN,PNZ as of March 31, 2023 and as of March 31, 2024 (i.e., including indirect holding of TAL's preferred equity through Dai -ichi Life, which was ¥20.7 billion as of March 31, 2023).

(Note 2)Adjustment related to non-covered business includes total net assets of non-consolidatedDai-ichi Life Holdings, the unrealized gains (losses) of assets and liabilities of Dai-ichi Life Holdings and deduction of Dai-ichi Life Holdings' carrying amount of equity of Dai-ichi Life, DFL, NFL, Protective Life, TAL and PNZ and investment in capital of DLVN.

4

[Unofficial translation]

2-2 Adjustment related to non-covered business

With respect to the business of Dai-ichi Life Holdings and its subsidiaries/affiliated companies (except for subsidiaries categorized in the scope of covered business which are operating life insurance business), the value of their business is included in the Group EV as "Adjustment related to non-covered business." This item includes total net assets of non-consolidatedDai-ichi Life Holdings and appropriate adjustments.

(billions of yen)

		March 31,	March 31,	Increase
		2023	2024	(Decrease)
Adjustment related to non-covered business	(163.2)	(98.3)	+64.9
	Total net assets on the balance sheet of	1,311.2	1,281.4	(29.8)
	non-consolidatedDai-ichi Life Holdings
	Unrealized gains/losses of asset and liabilities of	120.5	151.6	+31.2
	Dai-ichi Life Holdings(Note 1)
	Consolidation adjustment regarding the	(1,580.3)	(1,531.3)	+49.0
	Group(Note 2)
	Adjusting subsequent events after reporting period	(14.5)	-	+14.5
	in consolidation (Note 3)

(Note 1) With respect to the equity or the investments in capital of subsidiaries/affiliated companies of Dai-ichi Life Holdings and debt of Dai-ichi Life Holdings, unrealized gains (losses) have been reflected.

(Note 2) This item includes the deduction of Dai-ichi Life Holdings' carrying amount of equity of Dai-ichi Life, DFL, NFL, Protective Life, TAL and Partners Life and investment in capital of DLVN.

(Note 3) Given the information of Silicon Valley Bank and Signature Banks' bankruptcy and UBS's acquisition of Credit Suisse after reporting period of PLC and Dai-ichi Life Reinsurance Bermuda Ltd. (hereinafter "Dai-ichi Re"), the amount of recorded losses is reported as the adjusting events after reporting period in consolidation.

5

[Unofficial translation]

2-3 Value of New Business

The value of new business is the value at the time of sale, after all acquisition -related costs, of new policies (including net by conversion) obtained during the reporting period. The value of new business for the fiscal year ended March 31, 2024 is as follows:

		(billions of yen)
	Year ended	Year ended	Increase
	March 31,	March 31,
	(Decrease)
	2023	2024
Value of new business (Note1)	77.8	54.5	(23.3)
Present Value of Premium Income(Note2) (Note3)	5,272.8	6,211.6	+938.8
New Business Margin	1.48%	0.88%	(0.60) points

(Note 1) Group's value of new business for the year ended March 31, 2023 includes Protective Life and DLVN's value of new business for the year ended December 31, 2022. Group's value of new business for the year ended March 31, 2024 includes Protective Life and DLVN's value of new business for the year ended December 31, 2023.

(Note 2) Future premium income (as for Protective Life, based on the statutory accounting) is discounted by the discount rate used for the value of new business calculation.

(Note 3) A consolidated adjustment related to internal reinsurance transaction is made.

2-4 EV of Dai-ichi Life

(billions of yen)

	March 31,	March 31,	Increase
	2023	2024	(Decrease)
EV (Note 1)	4,865.0	6,114.5	+1,249.4
		(billions of yen)
	Year ended	Year ended	Increase
	March 31,	March 31,
	(Decrease)
	2023	2024
Value of new business	(19.9)	(5.5)	+14.4
Present Value of Premium Income(Note 2)	1,311.4	1,179.2	(132.2)
New Business Margin	(1.51)%	(0.47)%	+ 1.05 points

(Note 1) Dai-ichi Life's carrying amount of preferred equity of TAL is included in EV of Dai-ichi Life as of March

31, 2023.

(Note 2) Future premium income is discounted by the discount rate used for the value of new business calculation.

6

[Unofficial translation]

3. Movement Analysis

3-1 Movement Analysis of Group EV

		(billions of yen)
			Group EV
Values as of March 31, 2023		7,074.3
(1)	Adjustments to the values as of		(61.9)
	March 31, 2023
Adjusted values as of March 31, 2023		7,012.4
(2)	Value of new business		54.5
(3)	Expected existing business contribution		567.3
(4)	Non-economic experience variances		(28.4)
(5)	Non-economic assumptions changes		1.3
(6)	Economic variances		1,238.1
(7)	Changes in value of non -covered business		27.1
(8)	Other variances		19.7
(9)	Adjustments to the values as of March 31, 2024		0.0
Values as of March 31, 2024		8,892.1

1. Adjustments to the values as of March 31, 2023 This item includes the following breakdowns.

1. A decrease of net assets as Dai-ichi Life Holdings paid out shareholder dividends during the year ended March 31, 2024.
2. A decrease of net assets as Dai -ichi Life Holdings repurchased its own shares during the year ended March 31, 2024.
3. Adjustment of shareholder dividend to Dai-ichi Life Holdings by covered business during the year ended March 31, 2024, which does not affect the Group EV.
4. The foreign exchange variance of EEV of Protective Life and TAL and TEV of Dai-ichi Life Vietnam and Partners Life.
5. Reflects the impact of the EV measurement model change for group annuities at Dai-ichi Life.

1. Value of new business

The value of new business represents the value at the time of sale, after all acquisition - related costs, attributable to new business obtained during the fiscal year ended March 31, 2024.

7

[Unofficial translation]

(3) Expected existing business contribution

This item includes the expected existing business contribution of Dai-ichi Life, DFL, NFL, TAL ,Protective Life, Dai-ichi Life Vietnam and Partners Life.

(4) Non-economic experience variances

This item represents the difference between (i) the non -economic assumptions, which were used for calculating EV as of March 31, 2023 and (ii) the actual experience during the fiscal year ended March 31, 2024 corresponding to such assumptions.

(5) Non-economic assumptions changes

This item quantifies the amount of change attributable to increase/decrease in future profits/losses after March 31, 2024 due to making changes in the non-economic assumptions.

(6) Economic variances

This item represents the impact of differences between actual investment returns in the period and the expected investment returns and the impact on the value of in -force business from the change to the end of period economic assumptions.

(7) Changes in value of non-covered business

This item includes earnings of Dai-ichi Life Holdings and its subsidiaries/affiliated companies (excluding earnings from covered business) and changes in unrealized gains (losses) of assets and liabilities of Dai-ichi Life Holdings, and the adjusting subsequent events after reporting period in consolidation.

(8) Other variances

This item includes the impact of factors other than stated above. The impact of model changes is included in this item.

(9) Adjustments to the values as of March 31, 2024

This item includes the capital increase of Dai-ichi Life Holdings by Dai-ichi Life and Dai-ichi Life Vietnam during the 2nd half of the year ended March 31, 2024, which does not affect the total amount of Group EV.

8

[Unofficial translation]

3-2 Movement Analysis of Dai-ichi Life

	(billions of yen)
	EV
Values as of March 31, 2023	4,865.0
Adjustments to the values as of March 31, 2023	(196.8)
Adjusted values as of March 31, 2023	4,668.2
Value of new business	(5.5)
Expected existing business contribution	418.4
Non-economic experience variances	(92.1)
Non-economic assumptions changes	24.3
Economic variances	1,102.1
Other variances	0.0
Adjustments to the values as of March 31, 2024	(1.0)
Values as of March 31, 2024	6,114.5

9

[Unofficial translation]

4. Sensitivity Analysis

4-1 Sensitivity Analysis of Group EV

The following table shows a sensitivity analysis of Group EV to changes in assumptions (increase/decrease are shown). Although each figure in the table indicates the sensitivity in response to a change in one parameter, it should be noted that the sum of two or more figures in the table does not indicate the sensitivity to a change in two or more parameters corresponding to such figures.

The sensitivities are calculated based on the assumption that the Group's management actions would remain unaffected by changes in parameters.

	(billions of yen)
	Group EV
Values as of Mach 31, 2024	8,892.1
Sensitivity 1: 50bp upward parallel shift in risk -free yield curve	(14.7)
Sensitivity 2: 50bp downward parallel shift in risk-free yield curve	(6.8)
Sensitivity 3: 10% decline in equity and real estate values	(668.9)
Sensitivity 4: 10% decline in maintenance expenses	+ 267.4
Sensitivity 5: 10% decline in surrender and lapse rate	+ 244.4
Sensitivity 6: 5% decline in mortality and morbidity rates for life	+ 262.1
insurance products
Sensitivity 7: 5% decline in mortality and morbidity rates for	(28.6)
annuities

(Note 1) The new standard EV does not take into account the sensitivity of the risk margin. (Note 2) The sensitivity of PNZ's TEV is not included in the sensitivity analysis of Group EV.

10