The Dai-ichi Mutual Life Insurance Company

1
May 20, 2009
Exposure to Securitized Products
Including Subprime-Related Investments

The Dai-ichi Mutual Life Insurance Company (the “Company”; President: Katsutoshi
Saito) discloses its exposure to securitized products, including subprime-related
investments, based on the “Leading-Practice Disclosures for Selected Exposures”
included in the Financial Stability Forum (FSF) report announced in April 2008.

The Company’s exposure to securitized and subprime-related products is as follows:

The Company held no direct investments in subprime-related products as of March 31,
2009.

The Company holds investments in hedge funds in the form of fund-of-funds and
single fund investments, and some of their underlying investments include
subprime-related products. As there are both long and short positions in its asset
portfolio, the Company believes that they will have a limited impact on its financial
condition even under market fluctuations.

RMBS accounts for approximately 80% of the Company’s total balance of securitized
products in terms of fair value as of March 31, 2009. The breakdown of the RMBS is:
(1) securities backed by US government agencies or US government-sponsored
enterprises, (2) securities backed by Japanese mortgage loans, and (3) securities
issued by Japan Housing Finance Agency.

The Company defines “unrealized gains (losses)” as fair value less book value and
“realized gains (losses)” as total of gains (losses) on sales and impairment losses.

The Dai-ichi Mutual Life Insurance Company

2
1. The Company’s exposure to securitized products

Table 1. Special-Purpose Entities (SPEs, as of March 31, 2009)
The Company holds no investments in SPEs.
(¥ in billion)

Fair value
Unrealized gains
(losses)
Realized gains
(losses)
Special-Purpose Entities, Total
–
–
–
ABCP
–
–
–
SPEs which the Company originated
–
–
–
SIV
–
–
–
SPEs which the Company originated
–
–
–

Others
–
–
–
SPEs which the Company originated
–
–
–

Table 2. Collateralized Debt Obligations (CDOs, as of March 31, 2009)
(¥
in
billion)

Fair Value
Unrealized gains
(losses)
Realized gains
(losses)
CDOs (*1) (*2)
11.2
0.0
(33.5)

ABS–CDOs
–
–
–
Senior
–
–
–
Subprime/Alt–A exposure
–
–
–
Mezzanine
–
–
–
Subprime/Alt–A exposure
–
–
–
Equity
–
–
–
Subprime/Alt–A exposure
–
–
–

CLOs

4.0
0.0 (22.5)
Senior
1.5
0.0 –
Mezzanine
–
–
–
Equity
2.5
– (22.5)

CBOs
–
–
–
Senior
–
–
–
Mezzanine
–
–
–
Equity
–
–
–

Synthetic CDOs

7.2
– (
10.9)
Senior
0.6
– (
4.3)
Mezzanine
1.4
– (
6.5)
Equity
5.1
– –

Others
–
–
–

Senior
–
–
–

Mezzanine
–
–
–

Equity
–
–
–
*1. The size of issuance as a whole on such CDOs is ¥2,495.1billion, which consists of senior (¥923.7
billion), mezzanine (¥529.1 billion) and equity (¥1,042.3 billion). Among the total amount, CDOs of
¥11.2 billion are held by the Company.
*2. Breakdown of credit ratings of CDOs which the Company held as of March 31, 2009 is as follows:

The Dai-ichi Mutual Life Insurance Company

3
(¥ in billion)
Credit rating
Fair value
Percentage
AAA
1.5
13.3%
AA
–
–
A
–
–
BBB
2.2
20.4%
BB
4.2
38.2%
B
0.6
5.5%
no credit ratings
2.5
22.3%
Total
11.2
100.0%

Table 3. Other Subprime/Alt-A Exposure (as of March 31, 2009)
The Company holds no securitized products backed by subprime/Alt-A exposure.
(¥ in billion)
Fair value
Unrealized gains
(losses)
Realized gains
(losses)
Other Subprime/Alt-A Exposure, Total
–
–
–
Unsecuritized
loan
–
–
–
RMBS
–
–
–
Derivatives
–
–
–
Commitment
line
–
–
–
Others
–
–
–

Table 4. Commercial Mortgage-Backed Securities (CMBS, as of March 31, 2009)
(¥ in

billion)

Fair value
(ref.) as of
September 30, 2008
Unrealized gains
(losses)
Realized gains
(losses)
CMBS
0.3
1.3
( 0.0)
–

Japan
0.3
1.3
( 0.0)
–

USA
–
–
–
–

Europe
–
–
–
–

UK
–
–
–
–

Others
–
–
–
–
*1. Real estate as collateral consists of office buildings only.

Table 5. Leveraged Finance (as of March 31, 2009)
The Company holds no leveraged finance products.
(¥ in billion)
Fair value
(ref.) as of
September 30, 2008
Unrealized gains
(losses)
Realized gains
(losses)
Leveraged Finance, Total
–
–
–
–
Telecommunication –
–
–
–
Electronics
–
–
–
–

Entertainment –
–
–

–

Service –
–
–

–

Others –
–
–

–

The Dai-ichi Mutual Life Insurance Company

4
Table 6. Others (as of March 31, 2009)
(*1)
（¥ in

billion)
Fair value
Unrealized gains
(losses)
Realized gains
(losses)
Hedge fund (*2)
222.4
( 58.2 )
( 3.4 )
CDS
（*3） –
–
(*4) ( 0.0 )
RMBS
(*5) 1,172.4
29.8
( 39.3 )
ABS 96.7
(
0.3
)
–
Credit-linked note
2.9
( 0.0 )
–
*1. The Company held no direct investments in subprime-related products as of March 31, 2009.
*2. The Company holds hedge funds in the form of fund-of-funds and single fund investments, and some of
their underlying investments include subprime-related products. As there are both long and short
positions, the Company believes that they will have a limited impact on its financial condition even
under market fluctuations.
*3.The Company held no balance of CDS as of March 31, 2009..
*4. Realized gains (losses) of CDS represent the amount of net derivative transaction gains (losses)
associated with CDS, which are derivative transaction gains from CDS less derivative transaction losses
from CDS.
*5. RMBS consisted of: (1) approx. ¥917.5billion of US mortgage securities backed by US government
agencies or US government-sponsored enterprises, (2) approx. ¥246.4 billion of securities backed by
Japanese mortgage loans, and (3) approx. ¥8.4 billion of securities issued by Japan Housing Finance
Agency.

2. Breakdown of Securitized Products as a Whole
The Company held no direct investments in securitized products related to subprime loans
as of March 31, 2009.
(¥ in billion)

Fair value
Unrealized gains
(losses)
Realized gains
(losses)
Percentage
(Fair Value)
Securitized products, total
1,506.2
( 28.7)
( 76.3)
100.0%
CDO
11.2
0.0
( 33.5)
0.7%
CMBS
0.3
( 0.0)
–
0.0%
Hedge
fund
222.4
( 58.2)
( 3.4)
14.7%
CDS
(*1) –
–
( 0.0)
–
RMBS
1,172.4
29.8
( 39.3)
77.8%
ABS
96.7
( 0.3)
–
6.4%
Credit–linked
note
2.9
( 0.0)
–
0.1%
*1. The Company held no balance of CDS as of March 31, 2009.

The Company holds investments in hedge funds in the form of fund-of-funds and single
fund investments, and some of their underlying investments include subprime-related
products. As there are both long and short positions, the Company believes that they will
have a limited impact on its financial condition even under market fluctuations.

The Dai-ichi Mutual Life Insurance Company

5
3. Other Related Information on Securitized Products
The Company’s subsidiaries have no exposure to subprime-related products.
Abbreviated terms:
ABCP: Asset Backed Commercial Paper
ABS:
Asset Backed Security
ABS-CDO: CDO of ABS
CBO: Collateralized
Bond
Obligation
CDO: Collateralized
Debt
Obligation
CDS:
Credit Default Swap
CLO: Collateralized
Loan
Obligation
CMBS: Commercial Mortgage-Backed Securities
RMBS: Residential Mortgage-Backed Securities
SIV:
Structured Investment Vehicle