Risks of Prolonged Low Interest Rates and Asset-Liability Duration Mismatch
First written in FY2017. 15 of 23 entries say "Mitigated", first in FY2018-Q2. Latest entry: 2026-08-07.
The whole theme swung hardest in 2019: 4 of 6 companies on the "Worse" side.
0 other companies' latest entry also says "Advanced".
- FY2025MitigatedAnnual report
「The current medium-term management plan incorporates a plan to reduce Dai-ichi Life's holdings of domestic equities by ¥1.2 trillion over 3 years in order to accelerate the pace of equity risk reduction.」
Measures to address market-related risk took concrete form in a plan to reduce domestic equities by ¥1.2 trillion over 3 years and in interest-rate risk reduction through ultra-long-term bonds and reinsurance. - FY2025-H1MitigatedAnnual report
「At Dai-ichi Frontier Life, ordinary expenses decreased mainly because the amount transferred to liability reserves and other reserves in connection with new policies declined substantially following the start of reinsurance aimed at reducing risk in the previous fiscal year, among other factors.」
The reinsurance transaction initiated to address interest-rate and asset-liability risks was reflected in Dai-ichi Frontier Life's results for the current interim period as a substantial decrease in transfers to liability reserves and other reserves associated with new policies. - FY2024Interest-rate risk reduction exceeded the target while equity risk increasedAnnual report
「In the fiscal year ended March 2024, Dai-ichi Life's efforts to reduce market-related risk exceeded the reduction plan initially set out in its medium-term management plan, "Re-connect 2023." For interest-rate risk reduction, the Company steadily advanced measures including continued purchases of ultra-long-term bonds and lengthening durations through security replacements, resulting in progress substantially exceeding the initial expectations. For equity risk reduction, the Company steadily advanced its efforts through the sale of domestic equities it held, among other measures, but equity risk increased as a result of the rise in the market value of domestic equities during the fiscal year ended March 2024.」
Within market-related risks, interest-rate risk reduction exceeded the plan, while the amount of equity risk increased as share prices rose. - FY2023-Q2MitigatedAnnual report
「Dai-ichi Frontier Life Insurance Co., Ltd. (hereinafter, "Dai-ichi Frontier Life") conducts asset-liability management to appropriately manage investment assets corresponding to the liabilities arising from underwriting insurance contracts. Although the impact of interest-rate movements on its economic solvency ratio (ESR) is expected to remain limited, differences in the accounting treatment of asset and liability valuations resulting from interest-rate movements and other factors could affect the Group's net assets, solvency and solvency margin ratio. The Group is taking measures to mitigate these effects, including by using reinsurance.」
Measures to address interest-rate risk have continued to take shape through asset-liability management and the use of reinsurance at Dai-ichi Frontier Life to mitigate the impact. - FY2023-Q1MitigatedAnnual report
「The Group is mitigating these effects by actively using liability-reserve-matching bonds, which may be carried at book value for accounting purposes subject to a certain degree of duration matching, to address the risk of rising interest rates. However, a substantial rise in interest rates over a short period could materially affect the Group's financial position and profitability.」
While the risk of declining bond prices and the resulting impact on net assets from rising interest rates remains, we reconfirmed that the impact is being mitigated through the active use of liability-reserve-matching bonds. Dai-ichi Life also divided its group pension insurance into smaller subcategories and reorganized asset management according to risk-return characteristics. - FY2022MitigatedAnnual report
「As part of its efforts to reduce interest-rate risk, the Group continued purchasing and replacing ultra-long-term bonds and entered into reinsurance transactions to transfer to external reinsurers the financial risks associated with high-assumed-interest-rate individual insurance policies sold in the past.」
The Group continued reducing interest-rate risk through ultra-long-term bonds, reinsurance transactions and derivatives to address the low-interest-rate environment and mismatches between asset and liability durations. - FY2022-Q3MitigatedAnnual report
「The increase in insurance claims and other payments was mainly attributable to higher reinsurance premiums at Dai-ichi Life Insurance Company, Limited, following the cession of part of its in-force policies to reinsurers as part of its efforts to reduce interest-rate risk, among other factors.」
Dai-ichi Life ceded part of its in-force policies to reinsurers and advanced its efforts to reduce interest-rate risk, which was reflected in its results as an increase in reinsurance premiums. - FY2022-Q2MitigatedAnnual report
「The increase in insurance claims and other payments was mainly attributable to higher reinsurance premiums at Dai-ichi Life Insurance Company, Limited, following the cession of part of its in-force policies to reinsurers as part of its efforts to reduce interest-rate risk, among other factors.」
Dai-ichi Life ceded part of its in-force policies to reinsurers and advanced asset-liability management measures as part of its efforts to reduce interest-rate risk, which was reflected in its results as an increase in reinsurance premiums. - FY2022-Q1MitigatedAnnual report
「From the current first quarter of the consolidated fiscal year, 第一フロンティア生命保険株式会社 discontinued the subcategory for New Zealand dollar-denominated individual insurance and individual annuity insurance and transferred the liability-reserving bonds held in that subcategory to other securities. This was because, following the decline in the balance of policy reserves and the shortening of their duration in that subcategory, the significance of reflecting in the financial statements the actual practice of managing interest rate risk through asset-liability matching had diminished, among other factors.」
At 第一フロンティア生命, following the decline in the balance of policy reserves and the shortening of durations in the New Zealand dollar-denominated subcategory, the subcategory was discontinued and liability-reserving bonds were transferred to other securities. - FY2021-Q2RestatedAnnual report
「To manage risk appropriately, we establish an overall asset investment policy and fund allocation plan based on subcategories established according to the characteristics of insurance products. We also periodically verify that the duration of liability-reserving bonds matches the duration of policy reserves within a specified range.」
To address low interest rate and asset-liability duration mismatch risks, the company continues to use insurance product subcategories, asset investment policies and fund allocation plans, and periodic verification of duration matching with liability-reserving bonds. - FY2020MitigatedAnnual report
「第一生命 has continued to reduce market-related risks, including interest rate and equity risks. In the fiscal year ended March 2020, anticipating a prolonged low interest rate environment in Japan, it extended durations by purchasing ultra-long-term bonds and reduced interest rate risk through the use of derivatives.」
To address low interest rate and duration mismatch risks, the company advanced purchases of ultra-long-term bonds, duration extension, and the use of derivatives. - FY2020-Q2MitigatedAnnual report
「From the current interim consolidated accounting period, 第一フロンティア生命保険株式会社 transferred liability-reserving bonds held in the subcategory for Australian dollar-denominated individual insurance and individual annuity insurance to other securities and discontinued the subcategory.」
Because the economic assumptions changed as Australian dollar interest rates fell sharply and rapidly, Australian dollar-denominated liability-reserving bonds were transferred to other securities and the subcategory was discontinued. An additional response based on the ALM risk management policy was implemented. - FY2019MitigatedAnnual report
「From the current fiscal year, 第一フロンティア生命保険株式会社 has consolidated the subcategories previously classified as short-term and long-term yen-denominated individual insurance and individual annuity insurance into yen-denominated individual insurance and individual annuity insurance. This was intended to ensure appropriate duration control and improve ALM efficiency following the shortening of policy reserve durations resulting from the suspension of sales of products classified as short-term, yen-denominated individual insurance and individual annuity insurance.」
Following the suspension of sales of short-term yen-denominated products, subcategories were consolidated and ALM efficiency was improved through duration control. - FY2019-Q1MitigatedAnnual report
「This is intended to ensure appropriate duration control from the perspective of improving ALM efficiency, following the shortening of policy reserve durations resulting from the suspension of sales of products classified as short-term, yen-denominated individual insurance and individual annuity insurance.」
At 第一フロンティア生命, following the shortening of policy reserve durations due to the suspension of sales of short-term yen-denominated products, subcategories were consolidated and efforts were made to improve ALM efficiency and control durations. - FY2018-Q2MitigatedAnnual report
「To manage risk appropriately, we establish an overall asset investment policy and fund allocation plan based on subcategories established according to the characteristics of insurance products. We also periodically verify that the duration of liability-reserving bonds matches the duration of policy reserves within a specified range.」
Disclosed measures addressing asset-liability duration mismatch risk, including insurance product subcategories, asset investment policies and fund allocation plans, and periodic verification of duration matching with liability-reserving bonds. - FY2017First statedAnnual report
「Because the duration of our obligations to policyholders remains longer than that of our investment assets, we are exposed to interest rate fluctuation risk arising from this mismatch between liability and asset durations.」
Specified prolonged low interest rates, declining reinvestment yields, negative spreads, and falling bond prices when interest rates rise as asset-liability management risks.