DAI-ICHI LIFE HOLDINGS, INC. [Unofficial translation]
May 26, 2023
Tetsuya Kikuta
Representative Director, President
Dai-ichi Life Holdings, Inc.
Code: 8750 (TSE Prime section)
Disclosure of European Embedded Value as of March 31, 2023
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"). Dai-ichi Life Holdings has completed the acquisition of Partners Group Holdin gs Limited (hereinafter "Partners Life" or "PNZ"), as a wholly owned subsidiary, through its intermediary holding company Dai-ichi Life International Holdings, LLC, on November 30, 2022. The Group EEV as of March 31, 2023, includes the EEV of the Dai-ichi Life Insurance Company, Limited (hereinafter "Dai- ichi Life"), The Dai- ic hi 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 Insura nce Company of Vietnam, Limited (hereinafter "Dai- ichi Life Vietnam" or "DLVN") and Partners Life calculated using traditional embedded value ("TEV") methodology.
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[Unofficial translation]
Index
2-2 | EEV by Company | 12 | |
3. | Move me nt Analysis | 24 | |
3-1 | Movement Analysis of Group EEV | 27 | |
3-2 | Movement Analysis by Company | 31 | |
4. | Se nsitivity Analysis | 37 | |
4-1 | Sensitivity Analys is of Group EEV | 37 | |
4-2 | Sensitivity Analys is by Company | 40 | |
5. | Note on Using EV | 49 | |
Appendix A: EEV Methodology | 50 | ||
Appendix B: EEV Assumptions (Dai- ichi Life, DFL, NFL, TAL, DLVN and PNZ) ... | 56 | ||
Appendix C: EEV Methodology and Assumptions of Protective Life | 66 | ||
Appendix D: Actuarial Opinion | 74 | ||
Appendix E: Glossary | 76 |
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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 and PNZ | 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 financial 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 EVs of Dai-ichi Life Vietnam and Partners Life are 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, 2023 | ||||||||
2-1 | Group EEV | |||||||
The Group | EEV as of March 31, 2023 increased | compared to the end of the previo us | ||||||
fiscal | year | mainly due to the rise of Japanese yen interest rate . The Group | EEV as of | |||||
March 31, 2023 is as follows: | ||||||||
(billions of yen) | ||||||||
March 31, | March 31, | Increase | ||||||
2022 | 2023 | (Decrease) | ||||||
Group EEV | 7,150.9 | 7,349.0 | +198.1 | |||||
Covered business EEV | 7,200.0 | 7,512.2 | +312.1 | |||||
Adjusted net worth | 6,035.8 | 4,750.9 | (1,284.9) | |||||
Value of in-force business | 1,164.2 | 2,761.3 | +1,597.0 | |||||
Adjustment related to non-covered business | (49.1) | (163.2) | (114.0) | |||||
Year ended | Year ended | Increase | ||||||
March 31, | March 31, | |||||||
(Decrease) | ||||||||
2022 | 2023 | |||||||
Value of new business | 126.6 | 87.9 | (38.8) | |||||
(Note 1)Covered business EEV as of March 31, 2022 and as of March 31, 2023 is calculated as follows: Dai-ichi Life's EEV plus DFL's, NFL's, Protective Life's, TAL's EEV 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 as of March 31, 2022 and as of March 31, 2023 (i.e. , including indirect holding of TAL's preferred equity through Dai-ichi Life, which was ¥20.8 billion as of March 31, 2022, and ¥20.7 billion as of March 31, 2023).
(Note 2)Partners Life became a wholly owned subsidiary of Dai-ichi Life Holdings on November 30, 2022. The Group EEV as of March 31, 2022 does not include Partners Life's TEV. Dai-ichi Life Holdings held 100.0% of the shares of Partners Life as of March 31, 2023.
(Note 3)The EEV of Dai-ichi Life Reinsurance Bermuda Ltd. (hereinafter | "Dai-ichi Re") as of December 31, 2022, | ||
is included | in DFL's EEV. Of the EEV of Dai-ichi Re as of December 31, 2023, the value of in-force business | ||
is included | in DFL and NFL, the primary insurers, and the adjusted net worth is included in DFL. | ||
(Note 4)Adjustment | related to non-covered business includes total net assets of | non-consolidated | Dai-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, which is as follows: |
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Dai-ichi Life Holdings Inc. published this content on 26 May 2023 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 26 May 2023 07:04:04 UTC.
