Annual EVM results Zurich, 15 March 2013

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1 Zurich, 15 Mrch 2013

2 EVM methodology An integrted economic vlution nd ccounting frmework for business plnning, pricing, reserving, steering Shows direct connection between risk-tking nd vlue cretion Provides consistent economic frmework for evluting risktking outcomes nd cpitl mngement decisions Enbles compring economic returns cross businesses nd product lines for cpitl lloction decisions on risk-djusted bsis Key fetures Mrket consistent vlution of ll ssets nd libilities Exclusion of potentil future new business (closed book pproch) Recognition of ll profits on new business t inception nd of chnges in estimtes s they occur Best estimtes of future projected csh flows on discounted bsis Performnce is fter cpitl costs Segregtion between underwriting nd investment ctivities Segmenttion of P&C Re, L&H Re, Corporte Solutions nd Admin Re blnce sheet nd income sttement consistent with US GAAP methodology 2

3 2012 EVM Finncil Highlights Excellent performnce with contributions from ll business units nd strong investment result Significnt 29% increse in EVM premiums nd fees, USD 31.7bn EVM profit USD 4.2bn Strong new business profit of USD 2.0bn, driven by excellent underlying business performnce prticulrly in P&C Re Very strong profit from investment ctivities of USD 1.6bn, with gins in fixed income, privte nd listed equity Previous yers' business profit of USD 0.5bn primrily driven by fvourble prior yer reserve development, prtilly offset by corporte relignment nd continued investment in Admin Re EVM income USD 5.2bn Strong improvement in EVM income (2011: USD 0.8bn) Economic net worth incresed by 16.9%, USD 33.9bn Economic net worth per shre USD (2011: USD 84.72) 3

4 EVM key figures illion, unless otherwise stted P&C Re L&H Re Corporte Solutions Admin Re Group items Totl FY 2012 Totl FY 2011 Premiums nd fees EVM income EVM profit (loss) of which new business of which previous yers' business of which investment ctivities Profit mrgin new business 17.3% 10.4% 7.2% 147.2% % 4.9% (underwriting) Economic ROC on new business 22.9% 16.6% 20.3% 30.8% % 2.0% P&C Re L&H Re Corporte Solutions Admin Re Economic net worth (ENW) Economic net worth per shre Group items 1 Profit mrgin new business (underwriting) distorted by the sle of the Admin Re US business in Totl FY 2012 ENW includes USD million from consolidtion 4

5 P&C Reinsurnce Strong new business performnce nd fvourble prior-yer clims development PV new business premiums nd fees +15% EVM profit Profit mrgin new business underwriting % +9.3pts % 17.3% Growth in premiums ws minly driven by lrge cpitl relief quot shres, s well s by successful renewls in New business profit USD 1.2bn, driven by higher volumes with better mrgins nd lower clims Previous yers' business profit ws USD 0.9bn, minly from prior yer reserve releses Profit from investment ctivities ws USD 0.5bn, reflecting gins in credit, equity nd privte equity investments Profit mrgin on new business reflects strong new business performnce Adjusting for expected nturl ctstrophe impct, profit mrgin on new business for underwriting ws 15.9% 5

6 L&H Reinsurnce New business volumes nd profit strongly incresed PV new business premiums nd fees EVM profit Profit mrgin new business underwriting +64% +6.7pts % 3.7% 10.4% Increse in premiums nd fees driven by new lrge trnsctions, including longevity, higher volumes in the Americs nd incresed Helth business in Asi nd Europe 80 New business profit USD 0.6bn, driven by higher volumes nd improved mrgins Previous yers' business profit USD 0.1bn, due to positive mortlity experience vrince nd ssumption chnges Investment ctivities profit USD 0.2bn, reflecting gins in corporte credit nd securitised products s spreds tightened Profit mrgin improved in line with new business profit, including from updted mortlity nd lpse ssumptions 6

7 Corporte Solutions Profitble growth PV new business premiums nd fees EVM profit Profit mrgin new business underwriting +18% % +7.5pts % -0.3% Continued growth in-line with pln, cross ll lines of business Gross premiums net of intrgroup trnsctions incresed by 22% to USD 3.4bn, growth is not expected to continue t similr pce 2 New business profit USD 97m Previous yers' business profit USD 12m Profit from investment ctivities USD 183m, driven by gins in credit nd equity investments Economic profit on bsis of estimted TFC 1 to Swiss Re Group USD 500m Profit mrgin on new business improved minly due to business growth 2011 impcted by lrge nt ct losses 1 Estimted totl finncil contribution (TFC) of Corporte Solutions business written within Swiss Re Group nd includes development of historic loss reserves remining in Reinsurnce for the previous yers' business profit 7

8 Admin Re EVM profit driven by gin on sle of Admin Re US nd investment result, prtilly offset by previous yers' business loss PV new business premiums nd fees -67% EVM profit Gross csh genertion % Present vlue of FY 2012 premiums driven by two lrge UK longevity trnsctions (10% retined in Admin Re, 90% retroceded to L&H Reinsurnce) FY 2011 driven by Alico UK trnsction EVM profit minly driven by sset gins minly from credit spred tightening, USD 0.5bn EVM gin on sle of Admin Re US business, USD 0.2bn previous yers' business loss from corporte relignment nd continued investment in Admin Re, USD -0.5bn EVM loss in 2011 minly driven by investment ctivities 302 Increse of gross csh genertion minly due to sle of Admin Re US Totl csh pyments to Group of USD 1.4bn, of which dividends USD 1.0bn nd internl lon repyments of USD 0.4bn 1 Estimted Gross Csh Genertion (GCG). Finl 2012 GCG position expected post regultory cpitl submissions in April

9 Investment ctivities Strong result driven by fixed income gins Outperformnce EVM profit EVM income Outperformnce primrily driven by fixed income gins from impct of spreds tightening on credit exposure Additionl gins from equities, privte equity, direct rel estte, nd strtegic investments Positive result minly driven by corporte credit, s spreds tightened, nd strong performnce on equity nd privte equity investments Represents the totl return for shreholders, in excess of libility-bsed benchmrk All business segments contributed positively 9

10 Economic net worth (ENW) EVM income drives strong increse USD bn Economic net worth 31 Dec 2011 Chnges in EVM ccounting principles EVM income Dividends Other incl. fx on Economic net worth Economic net worth 31 Dec 2012 Chnges in ccounting principles relted to new method of modelling nd steering liquidity risk ("Funding Cost Frmework") "Other" includes foreign exchnge movements, purchses of tresury shres nd certin non-csh relevnt economic net worth movements 10

11 Reconcilition EVM Economic Net Worth to US GAAP shreholders' equity USD billions P&C Re L&H Re Reinsurnce Corporte Solutions Admin Re Group items Totl (fter consolidtion) 2012 US GAAP shreholders equity Discounting M-t-m on ssets nd debt Reserving bsis GAAP mrgins Other Recognition differences Goodwill & other intngibles Additionl tx libility Other Frictionl cpitl costs Totl 2012 Economic net worth Consistent economic tretment of ssets nd libilities (discounting) drives ENW uplift in P&C US GAAP mrgins incresed in 2012 s result of positive mortlity ssumption chnges nd higher new business volumes ENW of Admin Re lower thn US GAAP equity minly due to lower discount rtes in EVM for libilities compred to US GAAP locked-in ssumptions 1 Totl (fter consolidtion): Discounting includes USD -2.7bn from consolidtion 11

12 Group finncil trgets Well on trck ROE 700 bps bove risk free verge over 5 yers ( ) EPS growth 10% verge nnul growth rte, djusted for specil dividends 1 ENW per shre growth plus dividends 10% vg. nnul growth rte over 5 yers in % 13.4 in USD 2 in USD vg = reported ROE 2015E = 700 bps bove US Gov 5 yers E = reported EPS = vg. nnul growth (bse: 2010), djusted for specil dividends E = reported ENWPS including cumultive dividends in USD 4 = 10% vg. nnul growth (bse: 2010) 1 EPS CAGR of 10% hs been djusted to 5% for 2013 to ccount for the distribution of excess cpitl through proposed specil dividend of pprox. USD 1.5bn. Specil dividend ssumed to be fully reinvested nd thus comprble to excess cpitl re-deployment vi shre buybck t shre price of pprox. CHF 70 2 Assumes constnt foreign exchnge rte 3 Excl. CPCI 4 Cumultive dividends included in ENW per shre were trnslted from CHF to USD using the fx rte of the dividend pyment dte; dividends included for 2011: USD 3.1 (CHF 2.75), 2012: USD 6.4 (dditionl CHF 3.00 or USD 3.3 on top of the 2011 dividend) 1 12

13 Appendix 13

14 EVM segmentl income sttement 2012 illions P&C Re L&H Re Reinsurnce Corporte Solutions Admin Re Group items Totl Underwriting result New business result Premium nd fees Clims nd benefits Commissions Expenses Txes Cpitl costs Other Sle of Admin Re US New business profit Previous yers' business profit Profit underwriting Investment result Outperformnce Expenses Txes Cpitl costs Other Profit investment ctivities Totl profit Cost of debt Relese of totl current yer cpitl costs Income

15 EVM blnce sheet 2012 Corporte Solutions Consolidtion 31 December 2012, illions P&C Re L&H Re Reinsurnce Admin Re Group items Totl Assets Investments Csh nd csh equivlents In-force business ssets Externl retrocession ssets Other ssets Totl ssets Libilities In-force business libilities Externl retrocession libilities Provision for cpitl costs Future income tx libility Debt Other libilities Totl libilities Economic net worth (ENW)

16 MCEV nd EVM 2012 comprison MCEV recognises higher vlue thn EVM USD bn Economic net worth 31 Dec 2012 Differences Life business Differences Non-Life business Differences other MCEV 31 Dec 2012 (estimte) In line with MCEV guidelines, swp yield curves re used s reference rtes, compred to government rtes in EVM No credit for liquidity premiums is reflected in either EVM or MCEV Differences between EVM nd MCEV re minly relted to cpitl costs EVM frictionl cpitl costs re 4% chrge on EVM cpitl nd 2% chrge on leverge MCEV costs of residul non-hedgeble risks re shown t 3% on 99.5% Vlue-t-Risk, which re lower thn EVM frictionl cpitl costs Designtion reltes to type of business rther thn Business Unit 16

17 EVM developments in 2012 nd EVM segment reporting hs been ligned with US GAAP reporting, reflecting the new Group structure Swiss Re introduced new method of modeling nd steering liquidity risk, referred to s the Funding Cost Frmework. The new frmework mesures nd recognizes cpitl costs by explicitly including liquidity funding or consumption s n element of cpitl determintion 2013 The method to clculte txes will be chnged nd ligned to the current SII guidnce; the new pproch will be bsed on US GAAP txes plus djustments for EVM recognition differences Effective 1 Jnury 2013, the frictionl cpitl costs chrged to consumers of leverge hve been refined: chrges re now higher the longer leverge is required; until the end of 2012, flt chrge ws pplied 17

18 Corporte clendr & contcts Corporte clendr 18 Mrch 2013 AGM Briefing Cll Conference cll 10 April th Annul Generl Meeting Zurich 02 My 2013 First Qurter 2013 results Conference cll 24 June 2013 Investors' Dy Zurich 08 August 2013 Second Qurter 2013 results Conference cll 07 November 2013 Third Qurter 2013 results Conference cll Investor Reltions contcts Hotline E-mil Eric Schuh Ross Wlker Chris Menth Simone Lieberherr Simone Fessler

19 Cutionry note on non-gaap finncil mesures This presenttion includes informtion on Economic Vlue Mngement ( EVM ) which contins non-gaap finncil mesures. EVM is not bsed on US GAAP, which re the principles in ccordnce with which Swiss Re prepres its finncil sttements, nd should not be viewed s substitute for US GAAP finncil mesures. Among other items, the EVM income sttement (nd its components) should not be viewed s substitute for the income sttement (nd its line items) included s prt of Swiss Re s US GAAP consolidted finncil sttements, nd the Economic net worth figure should not be viewed s substitute for shreholders equity s reported in Swiss Re s US GAAP consolidted blnce sheet. Nonetheless, Swiss Re believes tht EVM provides meningful dditionl mesures to evlute its business. 19

20 Cutionry note on forwrd-looking sttements Certin sttements nd illustrtions contined herein re forwrd-looking. These sttements (including s to plns objectives, trgets nd trends) nd illustrtions provide current expecttions of future events bsed on certin ssumptions nd include ny sttement tht does not directly relte to historicl fct or current fct. Forwrd-looking sttements typiclly re identified by words or phrses such s nticipte, ssume, believe, continue, estimte, expect, foresee, intend, my increse nd my fluctute nd similr expressions or by future or conditionl verbs such s will, should, would nd could. These forwrd-looking sttements involve known nd unknown risks, uncertinties nd other fctors, which my cuse Swiss Re s ctul results of opertions, finncil condition, solvency rtios, liquidity position or prospects to be mterilly different from ny future results of opertions, finncil condition, solvency rtios, liquidity position or prospects expressed or implied by such sttements or cuse Swiss Re to not chieve its published trgets. Such fctors include, mong others: further instbility ffecting the globl finncil system nd developments relted thereto, including s result of concerns over, or dverse developments relting to, sovereign debt of euro re countries; further deteriortion in globl economic conditions; Swiss Re s bility to mintin sufficient liquidity nd ccess to cpitl mrkets, including sufficient liquidity to cover potentil recpture of reinsurnce greements, erly clls of debt or debt-like rrngements nd collterl clls due to ctul or perceived deteriortion of Swiss Re s finncil strength or otherwise; the effect of mrket conditions, including the globl equity nd credit mrkets, nd the level nd voltility of equity prices, interest rtes, credit spreds, currency vlues nd other mrket indices, on Swiss Re s investment ssets; chnges in Swiss Re s investment result s result of chnges in its investment policy or the chnged composition of its investment ssets, nd the impct of the timing of ny such chnges reltive to chnges in mrket conditions; uncertinties in vluing credit defult swps nd other credit-relted instruments; possible inbility to relise mounts on sles of securities on Swiss Re s blnce sheet equivlent to their mrk-to-mrket vlues recorded for ccounting purposes; the outcome of tx udits, the bility to relise tx loss crryforwrds nd the bility to relise deferred tx ssets (including by reson of the mix of ernings in jurisdiction or deemed chnge of control), which could negtively impct future ernings; the possibility tht Swiss Re s hedging rrngements my not be effective; the lowering or loss of one of the finncil strength or other rtings of one or more Swiss Re compnies, nd developments dversely ffecting Swiss Re s bility to chieve improved rtings; the cycliclity of the reinsurnce industry; uncertinties in estimting reserves; uncertinties in estimting future clims for purposes of finncil reporting, prticulrly with respect to lrge nturl ctstrophes, s significnt uncertinties my be involved in estimting losses from such events nd preliminry estimtes my be subject to chnge s new informtion becomes vilble; the frequency, severity nd development of insured clim events; cts of terrorism nd cts of wr; mortlity, morbidity nd longevity experience; policy renewl nd lpse rtes; extrordinry events ffecting Swiss Re s clients nd other counterprties, such s bnkruptcies, liquidtions nd other credit-relted events; current, pending nd future legisltion nd regultion ffecting Swiss Re or its ceding compnies, nd the interprettions of legisltion or regultions by regultors; legl ctions or regultory investigtions or ctions, including those in respect of industry requirements or business conduct rules of generl pplicbility; chnges in ccounting stndrds; significnt investments, cquisitions or dispositions, nd ny delys, unexpected costs or other issues experienced in connection with ny such trnsctions; chnging levels of competition; nd opertionl fctors, including the efficcy of risk mngement nd other internl procedures in mnging the foregoing risks. These fctors re not exhustive. Swiss Re opertes in continully chnging environment nd new risks emerge continully. Reders re cutioned not to plce undue relince on forwrd-looking sttements. Swiss Re undertkes no obligtion to publicly revise or updte ny forwrd-looking sttements, whether s result of new informtion, future events or otherwise. This communiction is not intended to be recommendtion to buy, sell or hold securities nd does not constitute n offer for the sle of, or the solicittion of n offer to buy, securities in ny jurisdiction, including the United Sttes. Any such offer will only be mde by mens of prospectus or offering memorndum, nd in complince with pplicble securities lws. 20

UBS European Conference. Stefan Lippe, Chief Executive Officer 16 November 2011

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