【 Presentation Materials 】

Sony Life’s
Market Consistent Embedded Valueas of March 31, 2012

Sony Financial Holdings Inc.
May 25,25 20121

Contents- Highlight of MCEV
- Compliance with MCEV Principles- MCEV Results

P.3
P.4
P.5

- Reconciliation Analysis
from MCEV at the End of the Prior Fiscal Year- Sensitivity Analysis- Appendix

P.9
P
9
P.16
P.19

■Opinion of outside specialist
Sony Life requested Milliman, Inc., an external actuarial consulting firm with expert knowledge in the area of MCEV valuations, to review the methodology,
assumptions and calculations and obtained an opinion from Milliman, Inc.
Please refer to the press release (“Disclosure of Market Consistent Embedded Value as of March 31, 2012”) for details.

Disclaimers:
This presentation material contains statements concerning the current plans, expectations, strategies and beliefs of the Sony Financial Holdings Group(the “SFH Group”). Any statements contained herein that pertain to future operating performance and that are not historic facts are forward-looking
statements. Forward-looking statements may include—but are not limited to—words such as “believe,” “anticipate,” “plan,” “strategy,” “expect,”“forecast,” “predict,” and “possibility” that describe future operating activities, business performance, events or conditions. Forward-looking statements,
whetherh th spoken
k or written,
itt
are b
based
d on jjudgmentsdt maded b
by th
the managementt off th
the SFH GGroup, b
based
d on iinformation
fti ththatt iis currently
tl available
il bl tto itit.
As such, these forward-looking statements are subject to various risks and uncertainties, and actual business results may vary substantially from theforecasts expressed or implied in forward-looking statements. Consequently, investors are cautioned not to place undue reliance on forward-looking
statements. The SFH Group disclaims any obligation to revise forward-looking statements in light of new information, future events or other findings.
The information contained in this presentation does not constitute or form part of any offer for sale or subscription of or solicitation or invitation of any
offer to buyy or subscribe for anyy securities,, nor shall it or anyy partp of it form the basis of or be relied on in connection with anyy contract or commitment
whatsoever.

2

Highlight of MCEVMCEV results

MCEV

Change11.3.3111.3.3112.3.31(Swap rates)(JGB yields)(JGB yields)

11.3.31(JGB11
3 31(JGB yields) vsvs.
12.3.31(JGB yields)

853.6

913.5

1,041.5+128.1

Adj t d nett worth
Adjusted
th

230 3
230.3

230 3
230.3

409 2
409.2

+178 9+178.9

Value of existing business

623.3

683.2

632.4

(50.8)

56 8
56.8

61 7
61.7

65 2
65.2

+3 5
+3.5

Of which,hi h new b
business
i
value
l


(Billions of yen)

The value of existing business as of March 31, 2012, was down year on year, due mainly to a decline in ultralong-term interest
rates, which offset the positive impact of the addition of new business and a reduction in the corporate tax rate. On the other
hand, adjusted net worth as of March 31, 2012, was up, due primarily to an increase in prices of ultralong-term JGBs held froman ALM perspective. Consequently,
C
MCEV
C
as off March 31
31, 2012
2012, was up ffrom a year earlier.

 Sony Life used JGB yields as the risk-free rate when calculating MCEV as of March 31, 2012, rather than interest swap rates,

which were used previously, as JGBs are considered securities with the lowest credit risk. JGBs are also regarded as superior
yen-denominated liabilities in terms of investment availability in keeping with accounting and regulatory constraints andgliquidity.
qyultralong-term
 The risk amount based on economic value (after tax) as of March 31, 2012, was ¥551.5 billion. The risk amount based on

economic value refers to the total amount of Sony Life’s risks, comprehensively examined and including insurance underwriting
risk and market risk. Sony Life ensures financial soundness by keeping these risks within a proper level of MCEV, which is
capital based on economic value.
Note: The solvency risk capital on an economic value basis is calibrated at VaR (99.5) over one year and based on the internal model, which
is a similar but modified model based on the EU Solvency II (QIS5) standard method.

3Compliance with MCEV Principles
 Sony Life has calculated its MCEV in accordance with the calculation methodologies andassumptions in the MCEV Principles. Notable points regarding compliance with the
MCEV P
Principles
i i l are as ffollows.
ll The reference rate used in the calculations has been defined as the JGB nominal spot rate

curve rather than the swap
p rate curve as stipulatedpin the MCEV pprinciples.
p The calculated value of MCEV is the value for Sony Life only, and not the consolidated value ofSony financial Holdings.
 Group MCEV, as prescribed in the MCEV Principles, is not considered, as the calculation is forSony Life on a standalone basis
basis.
 With respect to Sony Life’s subsidiaries and its equity-method affiliates, Sony Life has notevaluated their life insurance business but reflected the following values in the calculation ofadjusted net worth:

AEGON Sony Life Insurance Co
Co., Ltd
Ltd. is valued at net asset value minus intangible fixed assets andInsurance Business Law Article 113 deferred assets, multiplied by the participation rate.
 Sony Life Insurance (Philippines) Corporation is valued at book value under Japanese GAAP, adjusted for
unrealized gains/losses due to foreign exchange rate movements (after-tax).
 Other companies are valued at book value under Japanese GAAP.
 None of the calculated values of MCEV are presented separately by segment of subsidiary or byaffiliated company.
 Sony Life has calculated adjusted net worth based on Japanese GAAP, not on International
Financiala c a Reporting
epo t g Sta
Standards
da ds ((IFRS).
S)

4MCEV Results((Breakdown of Adjustedj
Net Worth 1))(Billions of yen)

11.3.3112.3.31

Change

230.3

409.2

+178.9

215.4

264.8

+49.4

Reserve for price fluctuations

16 8
16.8

25 3
25.3

+8 6
+8.6

Contingency reserve

51.6

55.3

+3.8

0.0

0.0

(0.0)

(22.2)

155.9+178.1

Unrealized gains or losses on land and buildings

11.2

11.5

+0.3

Unfunded pension liabilities

(6.4)

(4.9)

+1.6

Intangible fixed assets(18.4)(24.3)(5.9)

Tax effect equivalent of above seven items(11 8)(11.8)(66 8)(66.8)(55 0)(55.0)

Valuation gain or loss on subsidiaries and affiliatedcompanies *

(5.8)

(7.8)

(2.0)

Adjusted net worth
Total net assets

Reserve for possible loan losses
Unrealized gains or losses onheld-to-maturity securities*Valuation gain or loss on subsidiaries and affiliated companies included mainly values of AEGON Sony Life Insurance and Sony Life insurance(Philippines) in the calculation of adjusted net worth.

5

MCEV Results((Breakdown of Adjustedj
Net Worth 2))(Billions of yen)
11.3.31

Change12.3.31

Adjusted net worth

230.3

409.2

+178.9

Free surplus

230.3

382.9

+152.6

-

26.3

+26.3

Required capital Sony Life set its required capital as the larger of the amount of capital required for the current

solvency margin ratio of 200% or the amount of capital to cover risks based on the internal
model. Required capital due to the statutory solvency margin requirement is larger as ofMarch 31, 2012.
 Sony Life considered the revision to strengthen the solvency margin requirement from theend
d off March
M h 2012
2012, andd changedhd th
the ttargett solvencylmargini ratioti ffrom 600% tto 200%
200%.
 Sony Life defines the amount of capital to cover risks based on the internal model as thetotal amount of technical provision and solvency risk capital on an economic value basis inexcess of statutory policy reserves (excluding contingency reserves).
reserves)
 The solvency risk capital on an economic value basis as of March 31, 2012 was ¥551.5 billion
yen (after tax). The tax rate used to adjust to the after-tax basis is 30.78%. Sony Life maintain asound financial basis even on an economic value basis.
Note: The solvency risk capital on an economic value basis is calibrated at VaR (99.5) over one year and based on the internal model, which
is a similar but modified model based on the EU Solvency II (QIS5) standard method.

6

MCEV Results((Value of Existingg Business))
Value of existing
business(Billions of yen)

907.7

(84.5)

(5.0)
632 4
632.4
(185.9)

A

B

C

D

*

12.3.31(Billions of yen)

11.3.3112.3.31

ChangeValue of existing business

683.2

632.4

(50.8)A) Present value ofcertainty-equivalent
t i t
i l t
profit

929 1
929.1

907 7
907.7

(21 4)(21.4)

B) Time value of
options andguarantees(61.9)(84.5)(22.6)C) Frictional costs(22.7)

(5.0)

+17.7

D) C
Costt off nonhedgeable risks(161.4)(185.9)(24.5)*Note
QIS5 of the EU Solvencyy II has set a cost of capitalprate at 6%, which is used for thecost of capital calculation. On the other hand, the CRO (Chief Risk Officer) Forumcomprised of CROs from leading insurance companies in Europe proposed that 2.5%
to 4.5% would be the appropriate level based on several trial calculations.
Following the philosophy of the CRO Forum’s approach, Sony Life has decided touse 2.5% for the cost of capital rate consistent with the MCEV framework considering
Japanese long-term stock risk premiums, the beta of Sony Financial Holdings Inc.
and
d the
h anticipatedi id iimpact off theh equity
i riski k exposure off S
Sony Lif
Life on theh bbeta offSony Financial Holdings Inc., which is a hedgeable risk.

7

MCEV Results (New Business Value)
Breakdown of
new business value

11.3.3112.3.31

Change

61.7

65.2

+3.5

E) Present value ofcertainty-equivalentprofit

83.5

91.5

+8.1

F) Time value of
options andguarantees

(5.2)

(8.3)

(3.1)

G) Frictional costs

(0.3)

(0.2)

+0.0

H) Cost of nonhedgeable risks(16.3)(17.8)(1.6)

11.3.3112.3.31

ChangeValue of new business

61.7

65.2

+3.5

Present value of premiumincome954.4

1,013.7+59.3

New business margin

6.5%

6.4%

(0.0)pt(Billions of yen)
Value of new business(Billions of yen)

91.5
(8.3)

(0.2)
65.2
((17.8))New business margin(Billions of yen)

E

F

G

H

12.3.318

Reconciliation Analysis from MCEV
at the End of the Prior Fiscal Year ((1))(1) Change of reference rates
Reflecting the impact due to the change of risk free rates from swap rates to JGB yields.
((Billions of yyen))Free surplus

Required capital

Value of existing
business

MCEV

MCEV based on swap rates
((As
s of
o Marchac 331,, 2011)
0 )

230.3

－

623.3

853.6

(1) Change of reference rates

－

－

59.9

59.9

230.3

－

683.2

913.5

MCEV based on JGB yields(As of March 31, 2011)

EU Solvency II suggests the criteria the relevant risk free rates should meet. Sony Life considered some of the criteria
described below and have decided to use JGB yields instead of swap rates beginning with the disclosure as of March 31,
2012.
No credit risk

As Japanese yen is the currency of which the right to issue is held by Japanese government under a floating exchange rate
system, Japanese government bonds denominated in Japanese yen can be considered to be financial assets with thelowest credit risk. On the other hand, swap rates are reflected by credit risk with regard to LIBOR.
Realism

Realism refers to whether it should be possible to earn the rates in practice without credit risk. Sony Life has been
conducting risk management based on economic values. For the purpose of interest rate risk management (ALM), given
the difficulties in utilizing swap rate transactions due to limitations under the current accounting framework and solvency
regulations as well as the credit risk issue as mentioned above, Sony Life is primarily utilizing government bonds in practice.
High liquidity

JGBs have high liquidity even for long maturities such as 30 or 40 years.

9

Reconciliation Analysis from MCEV
at the End of the Prior Fiscal Year ((2))(Billions of yen)Freesurplus(2)

RequiredcapitalValue ofexisting
business

MCEV

Opening MCEV based on JGB yields (MCEV as of March 31, 2011)

230.3

－

683.2

913.5

Opening adjustments

(9.1)

－

－

(9.1)

Adjusted opening MCEV

221.2

－

683.2

904.4

(3)

New business value

－

－

65.2

65.2

(4)

Expected existing business contribution (risk-free rate)

0.3

0.0

11.1

11.5

(5)

Expected existing business contribution (in excess of risk free rate)

0.5

0.1

7.1

7.7

(6)

Transfers from value of existing business and required capital to free surplus

(8 4)
(8.4)

14
1.4

69
6.9

－

(34.5)－

34.5－

Of which, on new business(7)

Experience variances

(0.2)

(1.5)

(0.3)

(2.0)

(8)

Assumption changes

(0.1)

0.1

7.0

7.0

(9)

Other operating variance(24.7)

24.7

25.4

25.4

(10)

Operating MCEV earnings (3)～(9) total(32.6)

24.8

122.5

114.7

(11)

Economic variances

187.0

0.2

(214.2)(26.9)(12)

Other non-operating variance

7.2

1.3

40.8

49.3

Total MCEV earnings

161.7

26.3

(50.8)

137.2

Closing adjustments

－

－

－

－

382.9

26.3

632.4

1,041.5(13)

Closing MCEV (MCEV as of March 31, 2012)10

Reconciliation Analysis from MCEV
at the End of the Prior Fiscal Year ((3))＜11.3.31＞＜12.3.31＞(Billions of yen)

+49.3 1,041.5
+11.5
+65.2

913.5

+7.0

+7.7

+25.4
(26.9)

(2.0)

904.4
(9.1)

Operating MCEV earnings
MCEV Adjustments Adjusted
MCEV
as of
as of
March 31,
March 31,2011
(JGB yields)

2011

FY11
New
businessvalue

Expected existing Expected existing
businessbus
essbusinessbus
esscontribution
contribution(in excess of(risk-free rate）
risk-free rate）

Experience Assumption
Economic Adjustments
varianceschanges Other variances

MCEV
as of
March 31,2012
(JGB yields)

11

Reconciliation Analysis from MCEV
at the End of the Prior Fiscal Year ((4))(Billions of yen)Freesurplus(2)(3)

RequiredcapitalValue ofexisting
business

MCEV

Opening MCEV based on JGB yields(MCEV as of March 31, 2011)

230.3

－

683.2

913.5

Opening adjustments

(9.1)

－

－

(9.1)

Adjusted opening MCEV

221.2

－

683.2

904.4

－

－

65.2

65.2

New business value(2) Opening adjustments


These adjustments reflect changes in dividends paid to shareholders.

(3) New business valueThis figure reflects increases resulting from the acquisition of new business during the
fiscal year ended March 31, 201212

Reconciliation Analysis from MCEV
at the End of the Prior Fiscal Year ((5))(Continue)(Billions of yen)Freesurplus

RequiredcapitalValue ofexisting
business

MCEV

(4)

Expected existing business contribution (risk-free(risk free rate)

03
0.3

00
0.0

11 1
11.1

11 5
11.5

(5)

Expected existing business contribution (in excess of risk-free rate)

0.5

0.1

7.1

7.7

(6)

Transfers from value of existing business and required capital to free surplus

(8.4)

1.4

6.9

－

(34.5)－

34.5－

Of which, on new business(4) Expected existing business contribution (risk-free rate)This figure includes the release of the portion for the fiscal year ended March 31, 2012 of the time value of options and guarantees
and the cost of non-hedgeable risks, in addition to the release of the expected existing business contributions at a risk-free rate frompg MCEV ((as of March 31,, 2011).
)
the opening(5) Expected existing business contribution (in excess of risk-free rate)This figure reflects the profit expected in excess of the risk-free rate generated by holding assets such as ordinary corporate bonds,
loans, stocks and real estate.

The expected yield used to calculate the expected existing business contribution in excess of the risk-free rate for the fiscal year
ended March 31, 2012 was 0.429%, which was developed by reflecting Sony Life’s view of the market environment and annual
investment plans for the year against the asset balance at the end of the previous fiscal year.

((6)) Transfer from value of existingg business and requiredqcapitalp
to free surpluspThis figure indicates changes in the free surplus by transferring the profit for the fiscal year ended March 31, 2012 from the existing
business value to the free surplus and from changes in the required capital.



The transfer of profit, the former item, includes the transfer of expected profit that it was assumed would be realized during the fiscal
year ended March 31, 2012 under the MCEV calculation as of March 31, 2011, and the transfer of profit for the fiscal year ended
March 31,
31 2012 calculated under the new business value for the fiscal year ended March 31
31, 2012
2012, which is added in (3) above
above.

The value of MCEV itself does not change as a result of this transfer as the transfer merely constitutes an internal shift among MCEV
components.

13

Reconciliation Analysis from MCEV
at the End of the Prior Fiscal Year ((6))(Continue)(Billions of yen)Freesurplus

RequiredcapitalValue ofexisting
business

MCEV

(7)

Experience variances

(0.2)

(1.5)

(0.3)

(2.0)

(8)

Assumption changes

(0.1)

0.1

7.0

7.0

(9)

Other operating variance(24.7)

24.7

25.4

25.4

(7) Experience variances

These variances show the impact on MCEV of the actual versus assumed differences in non-economic expected profit for the fiscal
year ended March 31, 2012 under the MCEV calculation as of March 31, 2011, and of the differences between actual policies infforce
as off March
M h 31,31 20122012, andd ththose ththatt were projected
j t d tto b
be iin fforce on M
March
h 31
31, 2011 using
i persistency
i tassumptions.
tiThese variances reflect the impact of one-time expenses incurred during the fiscal year ended March 31, 2012, if applicable.

(8) Assumption changes
This figure indicates the impact of changes in the assumptions
assumptions, mainly on mortality and morbidity rates
rates, lapse and surrender rates
and operating expense rates.

While changes in morbidity and lapse rates decreased the value of existing business, its increase due to the change in mortality rate
was more significant.

(9) Other operating varianceThis represents the impact of improvements and corrections of the model used in calculating MCEV, including the change of therequired capital calculation described in section 4.7 due to the revision of the statutory minimum required capital level to 200% under
the new solvency margin regime as well as the improvement of the internal economic capital model to calculate the capital requiredj
to meet the internal objective.

14

Reconciliation Analysis from MCEV
at the End of the Prior Fiscal Year ((7))(Billions of yen)(Continue)Free
surplus

RequiredcapitalValue ofexisting
business

MCEV

(10)

Operating MCEV earnings (3)～(9) total(32.6)

24.8

122.5

114.7

(11)

Economic variances

187.0

0.2

(214.2)(26.9)(12)

Other non-operating variance

7.2

1.3

40.8

49.3

T t l MCEV earnings
Total
i

161 7
161.7

26 3
26.3

(50 8)(50.8)

137 2
137.2

Closing adjustments

－

－

－

－

382.9

26.3

632.4

1,041.5(13)

Closing MCEV (MCEV as of March 31, 2012)((10)0) OpeOperatingat g MCEVC
eaearnings
gs ・・・・ (3)(3)～(9)(9) total
tota(11) Economic variances

These variances show the impact of actual to assumed differences in economic assumptions, such as market interest rates and implied
volatilities, that were reflected in the market environment when calculating MCEV as of March 31, 2011 on future values and the impact of theactual to assumed difference in expected asset investment income that were assumed would be realized during the year ended March 31,
2012 under MCEV as of March 31
2012,
31, 2011
2011.



Most of the difference is created by the former factor, of which major reasons for decreases in the value of existing business include an updateof economic scenarios due to the change in the market environment such as a decrease in JGB yields and a change in the implied volatilities,
accounting for a decrease in the present value of certainty-equivalent profit by ¥195.2 billion, as well as increases in the time value of options
and guarantees, the frictional cost and the cost of non-hedgeable risks by ¥0.3 billion, ¥ (0.5) billion and ¥10.5 billion, respectively.

(12) Other non operating varianceThis figure shows the effect of changes in tax rate assumptions accompanying corporate tax rate reduction and reconstruction special
corporate tax imposition.

(13) Closing adjustmentsIt reflects the impact of valuation gains or losses caused by the foreign exchange rate on Sony Life Insurance (Philippines) Corporation.

15

Sensitivity Analysis＜12. 3.31＞
Assumption
BaseInterest rates

Stock / Real estate market value(Billions of yen)
Change inAmountRate of
Change＜11. 3.31＞(Billions of yen)

Change inAmountRate of
ChangeChange in Assumption

MCEVg
No change

1,041.5
,

－

－

853.6

－

－

100bp decrease

912.7(128.8)

(12%)

739.2

(114.4)(13%)

100bp increase

1,073.4

31.8

3%

890.9

37.3

4%

Swap rates((used JGB yields
yas of 11.3.31))

972.2(69.3)

(7%)

901.2

47.6

6%

1,024.7(16.8)

(2%)

837.1

(16.5)(2%)

1,033.7

(7.8)

(1%)

847.0

(6.6)

(1%)

1,030.3(11.3)

(1%)

845.5

(8.1)

(1%)

10% decrease

MCEV

Stock / Real estate implied
volatility
Interest swaption
Implied volatility

25% increase

Maintenance expenses

10% decrease

1,056.0

14.5

1%

864.1

10.5

1%

x 0.9

1,065.6

24.1

2%

875.6

22.0

3%

Death protection products x 0.95

1,084.1

42.6

4%

889.1

35.5

4%

Thi d
Third-sectort andd annuity
it products
d t x00.95
95

1 038 1
1,038.1

(3 5)
(3.5)

(0%)

849 9
849.9

(3 7)
(3.7)

(0%)

Morbidity rates

x 0.95

1,074.3

32.8

3%

880.1

26.5

3%

Required capital

Regulatory minimum

1,041.6

0.1

0%

－

－

－

Lapse and surrender rates

25% increase

Mortality rates■Changes
g in adjustedj
net worth within the amount of change
g in MCEV are shown in the table below. Of items not specifiedpin this table,, only
y the value ofexisting business has been changed while adjusted net worth remains the same.
(Billions of yen)
Assumption

Change in Amount (adjusted net worth)

Change in Amount (value of existing business)

100bp decrease

710.8(839.6)100bp increase(550.7)582.5

Stock / Real estate market value

10% decrease(12.2)(4.5)

Stock / Real estate implied volatility

25% increase

0.3

(8.1)

Interest rates

Change in Assumption

16

Sensitivity of New Business Value＜12.3.31＞
Assumption

Change in Assumption(Billions of yen)
New Business
Value

Change inAmountRate of
Change＜11.3.31＞
New Business
Value(Billions of yen)

Change inAmountRate of Change

No change

65.2

－

－

56.8

－

－

100bp decrease

5.9(59.3)

(91%)

13.1

(43.7)(77%)

100bp increase

99.1

34.0

52%

82.9

26.1

46%

Swap rates(used JGB yields
as of 11.3.31)

58.2

(6.9)

(11%)

61.6

4.8

8%

10% decrease

65.2

(0.0)

(0%)

56.8

(0.0)

(0%)

Stock / Real estate
implied volatility

25% increase

64.8

(0.3)

(1%)

56.5

(0.3)

(0%)

Interest swaption
Implied volatility

25% increase

63.6

(1.6)

(2%)

55.8

(1.0)

(2%)

10% decrease

66.6

1.4

2%

58.0

1.2

2%

x 0.9

70.9

5.7

9%

61.6

4.8

8%

Death protection products
x 0.95

68.3

3.1

5%

59.4

2.6

5%

Third sector and annuity
products x 0.95

64.9

(0.2)

(0%)

56.5

(0.3)

(1%)

Morbidity rates

x 0.95

67.6

2.4

4%

59.0

2.2

4%

Required capital

Regulatory minimum

65.2

0.0

0%

－

－

－

Base

Interest rates

Stock / Real estatemarket value

Maintenanceexpenses
Lapse and surrender
rates

Mortality rates

17

Interest Rates Sensibility and Others<Interest rates sensibility>This sensitivity represents the impact of an immediate parallel shift of the Japaneseand foreign government bond yield curves as of March 31, 2012, and the impact if the swap rates wereused instead of government bond yields.



Adjusted net worth would change as the market value of bonds and other assets held were to change,
while this is not applicable to the case if the swap rates were used
used. At the same time
time, the value ofexisting business would also change as interest rates, the discount rate, yields of new bonds to bepurchased in the future as the existing bonds mature, and the investment return on stocks, real estate,
and other assets were to change.

Here, thH
the sensitivity
iti it scenarios
i were maded so ththatt ththe parameterstrelatedl t d tto iinteresttt ratet volatility
l tilit wereequal to those derived for the base case. Only the parameters related to the interest rate term structure
were altered when scenarios were developed using the interest rate model. The floor in for downwardchanges in interest rates was set at 0%.

＜Other＞


Frictional costs and the cost of non-hedgeable risks do not change in the sensitivity tests, with the
exception of frictional costs,
costs which are changed in required capital
capital.



Values of subsidiaries and affiliated companies are not changed except for stock market value
sensitivity, where the stock value of subsidiaries and affiliated companies are altered.



The impact
pof changing
g g more than one assumption
p
at a time is not congruentgwith the sum of impacts
pfor each assumption.
18

Appendix

19Assumptions
Assumptions are described in the press release on and after P16. Of the assumptions, some of economic assumptions are shown below.

<Implied volatilities of interest swaption><Risk-free rate*>
JGB yields

Swap rate

11.3.31
11
3 31
(JPY)

12.3.31
12
3 31
(JPY)

Term ofswap

Term ofoption1 year

1 year

53.8%

40.8%

Term

11.3.3112.3.31

Term

11.3.3112.3.31

1 year

0.15%

0.11%

1 year

0.36%

0.34%

5 year

0 50%
0.50%

0 32%
0.32%

5 year

0.62%

0.49%

5 year

1 year

60 1%
60.1%

48 7%
48.7%

10 year

1.26%

0.99%

10 year

1.29%

1.04%

5 year

5 year

32.5%

34.8%

20 year

2.07%

1.76%

20 year

2.02%

1.75%

5 year

7 year

26.7%

30.1%

30 year

2.19%

1.95%

30 year

2.16%

1.91%

5 year10 year

23.6%

26.8%

40 year

2.34%

2.11%

40 year

2.24%

2.00%

10 year1 year

40.6%

37.3%

*The JGB yields are used as a risk-free rate.

10 year

5 year

28.2%

29.4%

<Implied volatilities of stocks>

10 year

7 year

25.3%

27.1%

10 year

10 year

24.0%

26.2%

11.3.3112.3.31

p
Japan
TOPIX

U.S.
S&P

Japan
p
TOPIX

U.S.
S&P

15 yearear

1 year
ear

32 6%
32.6%

29 9%
29.9%

1 year

20.3%

19.9%

18.0%

18.6%

15 year

5 year

26.7%

27.5%

5 year

19.9%

21.6%

20.5%

23.4%

15 year

7 year

25.3%

27.2%

10 year

22.1%

25.7%

23.2%

28.0%

15 year

10 year

24.8%

27.7%

20

Year on Year Comparison of
JGB Yields(%)

2.5
12 3 3112.3.3111.3.31
2

1.5

1

0.5

R
30
Y

R

R
20
Y

40
Y

R
15
Y

1Y
R
2Y
R
3Y
R
4Y
R
5Y
R
6Y
R
7Y
R
8Y
R
9Y
10 R
Y
R

0

(Data Source: Bloomberg)

21

Comparison Between Standard Methodologies
Described in QIS5 of EU Solvency II (Excerpt) andSonyy Life’s Internal Model
Required capital of Sony Life is set as the larger of the amount of capital corresponding to the solvency margin ratio of 200% or the amount of capital tocover risks based on the internal model, which is a similar but modified model based on the QIS5 standard method.
Market Risk
QIS5

Sony Life

Equity risk

Global stocks 30% ／ Other stocks 40% (Note1) fall in thevalue

Listed stocks 45% ／ Stocks of subsidiaries and affiliatedcompanies 100% fall in the value

Currency risk

Using a downward shock of 25%

Using a downward shock of 30%

Interest rate risk
*For interest rate risk (up, down) ,using the interest rate movements
pre-defined by each maturity

Interest rate up 1.25x～1.70xInterest rate up 1.52x～4.19x

Interest rate down (Note2)

Interest rate down (Note2)

Insurance underwriting risk

Note 1:
Note 2:0.25x～0.73x

0.23x～0.66x

QIS5 risk multipliers are global:39%, other:49%, but 30%/40% are used, as a symmetric adjustment is applied.
(an adjustment within ±10%, based on the average of the stock price index over a specified period in the past)
Regarding interest rate risk, a minimum 1% decrease must be applied, and the floor for all standards is set to 0%.

QIS5Sony Life

Mortality risk

using a shock of a (permanent) 15% increase in mortality rates for each age.

using a shock of a (permanent) 15% increase in mortality rates foreach age.

L
Longevity
it risk,i kusing
i a shockh k off a ((permanent)t) 20% decreasediin mortality
t lit rates
t ffor eachh age.

using
i a shockh k off a ((permanent)t) 20% decreasediin mortality
t lit ratest
for each age.

Lapse risk

Maximum amount of these;
・Increase by 50% in the assumed rates of lapsation
for Life module, 20% for Health module*・Decrease by 50% in the assumed rates of lapsation
for Life module, 20% for Health module*
・30% or 70% of the sum of surrender as a mass lapse event

Maximum amount of these;
・Increase by 50% in the assumed rates of lapsation
for Life module, 50% for Health module*・Decrease by 50% in the assumed rates of lapsation
for Life module, 50% for Health module*
・30% of the sum of surrender as a mass lapse event

Expense risk

Using a shock of a 10% increase in future expenses compared to best
estimate anticipations, and increasing 1% per annum of the expense inflation
rate compared to anticipations.

Using a shock of a 10% increase in future expenses compared tobest estimate anticipations, and increasing 1% per annum of theexpense inflation rate compared to anticipations.

Di bilit risk
Disabilityi k

U i a shockUsing
h k off a 35% increaseiini disability
di bilit rates
t for
f the
th nextt year, togethertthwith a (permanent) 25% increase (over best estimate) in disability rates at
each age in following years and a 20% decrease in recovery rate.

U i a shockUsing
h k off a 35% increaseiini disability
di bilit rates
t for
f the
th nextt
year, together with a (permanent) 25% increase (over best
estimate) in disability rates at each age in following years.

22For inquiries:
S
Sony
Fi
Financial
i lH
Holdings
ldi
IInc.
Corporate Communications & Investor Relations Department
TEL：+81-(0)3-5785-1074

23