Q&A (Summary) of Conference Call for Domestic Institutional Investors and Analysts on theResult of Sony Life’s Market Consistent Embedded Value (MCEV) as of March 31, 2009

Date:June 1, 2009, 17: 00–17: 50
Respondents: Masaaki Konoo, General Manager, Corporate Communications & Investor Relations Dept.,
Sony Financial Holdings Inc.;
Spokespersons of Sony Life Insurance Co., Ltd.

Q&A (Summary)
Q1: I would like to ask about the fall in MCEV resulting from a decline in interest rates. Based on yoursensitivity as of March 31, 2008, you explained that a 100bp drop in interest rates would cause the valueof existing business to decline ¥220.0 billion. However, the sensitivity information on page 27 of yourhandout shows the change due to a 100bp fall in interest rates to be a decline of ¥289.6 billion. Isn’t this arather large change compared with what was actually an average change in the yield curve drop of 0.5%?
A1: Breakdown of the interest rate sensitivity as of March 31, 2008, that we disclosed last November, is shownin this handout as a change in adjusted net worth. Although a 100bp decline in interest rates would cause
adjusted net worth to increase ¥147.9 billion, subtracting this effect from the change in MCEV results in adecrease of approximately ¥440.0 billion in value of existing business. Using the 0.5% actual change inaverage interest rates, the decline in interest rates on the value of existing business has a downward impactof around ¥220.0 billion.
Q2: When forecasting future MCEV, what period should we be looking at interest swap rates and Japanese
government bond yields? Average duration on liabilities is between 20 years and 30 years; should we lookat interest rate movements over that period?
A2: Yes, that is correct.
Q3: The free surplus is negative. Is this figure indicated simply from the standpoint of calculating MCEV, orwill the figure have some impact on your future capital policies?
A3: Sony Life’s statutory solvency margin ratio exceeds 2,000%, which we believe to indicate ongoing
financial soundness. The free surplus is negative based on the calculation of required capital using aninternal model for calculating the solvency capital requirement (SCR) stipulated by QIS4. Aiming at
responding to this, we are planning to perform duration matching of the assets side and the liabilities side,and to review product details.
Q4: I believe that required capital was positive as of March 31, 2009. Was capital cost accordingly subtracted
from MCEV?
A4: We set required capital for each period in the future, calculating that cost as the frictional cost.
The frictional cost as of March 31, 2009, was up compared with March 31, 2008. This was because of anincrease in the required capital. The increase in required capital had a downward impact on MCEV value
through the frictional cost.
Q5: The interest rate sensitivity of adjusted net worth as of March 31, 2009 (see page 17 of the handout), isshown with changes in value corresponding to 100bp upward and downward movement of interest swap
rates. What would be the change in value corresponding to changes of 50bp?
A5: We do not make calculations using 50bp, but the impact on value would be slightly less than 50% of theexample using 100bp.
Q6: Sensitivity resulting from a 25% increase in the implied volatility of swaptions was a ¥20.9 billion
decrease as of March 31, 2008. As of March 31, 2009, this figure was a decrease of ¥69.5 billion,indicating higher sensitivity. Why was this?
A6: In general, this can be explained by what they call “Vega”, which is used to indicate changes in option
prices in response to changes in implied volatility. The reaction on sensitivity is largest when exercise
prices are close to the intrinsic value of swaptions. Under the current interest rate conditions, the projectedinterest rate on minimum guarantees is near the level of the implied forward rate of interest swap rates. In
our analysis, these are the conditions in which “Vega” is largest. In addition, Swaption volatility level has
risen during the past fiscal year, and the upward portion, multiplied by 25%, has a downward impact on
the changes in value. We analyze that these are the reasons of higher sensitivity in the implied volatility.
Q7: That impact is shown in ¥134.0 billion decrease in the time value of options and guarantees from the last
fiscal year?

A7: That is correct.
Q8: Looking at your analysis of the reasons for change in MCEV from the end of the previous fiscal year
(page 11 of the handout), the value of existing business was down ¥362.5 billion. Would you explain how
the value of existing business decreased by breaking down with each factor, the increase in implied
volatility and the flattening of term structure of interest swap rates?
A8: Typically, when assts and liabilities are fully matched in ALM, adjusted net worth would be expected toincrease even if the value of existing business decreases. So sufficient matching was not performed in ourcase. In addition, the impact of unrealized losses on securities and other factors caused adjusted net worth
to decrease. With regard to factor analysis, when running a simulation we built a simultaneous scenario forchanges in implied volatility and changes in interest rates, and then recalculated, which made accurate anddetailed breakdown more difficult. However, in our internal analysis we used implied forward rates
calculated on the basis of interest swap rates when projecting the average investment yield on assets. The
impact was a decrease of around 0.5% compared to the results of last year’s analysis. If we apply thesensitivity used last year, a 100bp decline in interest swap rates has the effect of reducing the value ofexisting business by approximately ¥440.0 billion (change in MCEV of minus ¥289.6 billion – change invalue of adjusted net worth + ¥147.9 billion), and a 0.5% fall in interest swap rates has a negative impactof ¥220.0 billion, equivalent to 50%.
Q9: Twenty-five year interest swap rates fell 33bp. Didn’t this change have any meaning?
A9: For Sony Life, there was some risk in the term structure of interest swap rates, but in terms of sensitivity
that we disclosed, interest rates simply exhibited a parallel shift, making sensitivity difficult to determine.
The flattening of the term structure of interest swap rates had a major impact on the decline in MCEV.
This impact appears to have worked in two ways. First was the effect of the difference in the duration ofassets and liabilities as of March 31, 2008. On the assets side, our portfolio was focused on 10-year bonds,
whereas the structure on the liabilities side created longer-term cash flows than on the assets side. Thisduration mismatch has a major downward impact on MCEV in a flattening of the yield curve. The second
way in which this worked is unique to our own composition of liabilities. As Sony Life does not have along history, we have only a short history of most level-premium policies, resulting in a net influx of cash
for the foreseeable future. Owing to this net influx, a decline in interest swap rates for the foreseeable
future causes our present value to increase—a structure that is a plus for our company. In other words,
when interest swap rates for a short-term fall and long-term interest rates increase, the yield curve steepens,causing our MCEV to rise. However, the flattening of the curve as of March 31, 2009, making risk moreevident than would have been the case simply from the sensitivity disclosure using a parallel shift.
Q10: How do you position or consider MCEV from a management perspective? Will you take any sort ofaction to raise MCEV?
A10: We consider a number of indicators important in determining the value of the life insurance business, notonly MCEV. MCEV is not yet considered commonplace for determining economic value, but we believe
this is useful information for determining economic value. We also consider this information useful fromthe viewpoint of determining the Company’s risk profile, so Sony Life will continue to take this approachin the future. At the management vision briefing on June 4, our management will explain our positioningof MCEV in terms of management, as well as how we review the figures.
Q11: Have you taken any actions, such as hedging investments in assets, in response to changes in MCEV
after March 31, 2009?
A11: We have not taken any action such as hedging investments in assets for the purpose of raising MCEV.
Valuations based on MCEV are not grounds for making short-term changes in product strategy orinvestment strategy. However, in a long-term we do plan to extend the duration of assets to narrow theduration gap between the assets side and the liabilities side.
Q12: In terms of sensitivity, you said a parallel shift of interest swap rates is not enough to analyze the changein MCEV. In the future, do you plan to provide additional guidance to the market regarding MCEV on aquarterly basis, or do you plan to provide supplementary explanations?
A12: We do not plan to provide guidance on a quarterly basis. We also do not plan to disclose sensitivity
quarterly, which is one component of MCEV disclosure.
Q13: How much have such factors as interest swap rates changed MCEV between March 31, 2009, and thepresent, reflecting changes in the market? Please indicate any trial calculations you may have performed.
A13: We have not performed any current calculations. However, by looking at changes in the yield curve, itwould be safe to say that there has been no major change.