Millea Group's risk exposure to U.S. SPLs is approximately ¥26.2 billion (“bn”). However, as most of the exposure relates to financial transactions that have been granted the highest credit rating of AAA, we expect currently an estimated loss of approximately ¥1.0bn.
[Note] Breakdown of the SPLs related risk exposure is as follows: Credit derivatives (approx. ¥5bn), hedge fund investments (approx.¥3.3bn), a bond and asset back securities (approx.¥2.6bn) and financial guaranty treaty reinsurance written (approx.15.3bn).