Analysts meeting. 4 August 2006 Zurich, Switzerland. Cautionary note on forward-looking statements

Transcription

1 Analysts meeting 4 August 2006 Zurich, Switzerland Cautionary note on forward-looking statements Certain statements contained herein are forward-looking. These statements provide current expectations of future events based on certain assumptions and include any statement that does not directly relate to a historical fact or current fact. Forward-looking statements typically are identified by words or phrases such as "anticipate", "assume", "believe", "continue", "estimate", "expect", "foresee", "intend", "may increase" and "may fluctuate" and similar expressions or by future or conditional verbs such as "will", "should", "would" and "could". These forward-looking statements involve known and unknown risks, uncertainties and other factors, which may cause Swiss Re's actual results, performance, achievements or prospects to be materially different from any future results, performance, achievements or prospects expressed or implied by such statements. Such factors include, among others: the impact of completed and future investments, acquisitions or dispositions, and any delays, unexpected costs or other issues experienced in connection with any such transaction, including the ility to efficiently and effectively integrate the former GE Insurance Solutions operations into our own; cyclicality of the reinsurance industry; changes in general economic conditions, particularly in our core markets; uncertainties in estimating reserves; the performance of financial markets; expected changes in our investment results as a result of the changed composition of our investment assets or changes in our investment policy; the frequency, severity and development of insured claim events; acts of terrorism and acts of war; mortality and morbidity experience; policy renewal and lapse rates; changes in rating agency policies or practices; the lowering or withdrawal of one or more of the financial strength or credit ratings of one or more of our subsidiaries; changes in levels of interest rates; political risks in the countries in which we operate or in which we insure risks; extraordinary events affecting our clients, such as bankruptcies and liquidations; risks associated with implementing our business strategies; changes in currency exchange rates; changes in laws and regulations, including changes in accounting standards and taxation requirements; and changes in competitive pressures. These factors are not exhaustive. We operate in a continually changing environment and new risks emerge continually. Readers are cautioned not to place undue reliance on forward-looking statements. We undertake no obligation to publicly revise or update any forward-looking statements, whether as a result of new information, future events or otherwise. Slide 2

2 Agenda Introduction Ann Godbehere Business performance Insurance Solutions summary Jacques Aigrain Catastrophe perils update Strategic direction & Group outlook Slide 3 Executive summary Strong performance in 1H 2006 Net income CHF 1.6 billion, EPS of CHF 4.92 Strong performance across all businesses Continued good investment performance Shareholders equity, ROE Delivering relile performance Slide 4 Shareholders equity up 18% to CHF 27.1 billion including equity funding of CHF 4.2 billion Annualised ROE of 13.9%, up from 13.0% Strong quality of earnings; nil prior year development Consistent underwriting discipline & innovative capital market strategies New talents, markets and clients through Insurance Solutions

3 Key figures Improved performance across the board in CHF bn unless otherwise stated 1H H 2006 Premiums earned Net income Return on investments (annualised) 5.2% 5.3% Combined ratio, trad. P&C business 96.3% 93.0% Combined ratio, incl. Credit Solutions 94.9% 92.7% Return on operating revenues, L&H 9.5% 11.0% Shareholders equity ( / ) Return on equity (annualised) 13.0% 13.9% Slide 5 Shareholders equity up 18%, further enhancing book value per share Shareholders equity Book value per share* CHF millions in CHF CAGR: 10.2% Net income Dividends Insurance Solutions financing Unrealised losses on securities, net Cumulative translations adjustments Other H Slide 6 * based on shares entitled to dividend

4 Dedicated focus on underwriting discipline Change in Group premiums earned Premiums earned Interim 2005, fx adjusted* Lower traditional premiums in P&C more than offset with good growth in Credit Solutions and L&H Traditional P&C Credit Solutions Life & Health Insurance Solutions (21 trading days) adds a well balanced book of P&C (CHF 265m) and L&H (CHF 120m) business Insurance Solutions Non-traditional non-life Continued trend of lower demand for non-traditional products Securitisations Premiums earned Interim Securitisation of life and non-life risks lower premiums by CHF -99m and CHF +14m, respectively Slide 7 * 1H 2005 adjusted for positive fx impact of CHF 587m Prior year development nil in 1H 2006 Prior year reserve development CHF millions Swiss Re has a balanced portfolio reserved well ove mid-point H H H 2006 Late KRW claims notifications of CHF 240m entirely offset with positive development from prior years No adverse development in past 12 months Slide 8 More information provided at the Investors day on

5 Investments: 5.3% RoI Continued good investment performance in CHF billions at 1H06 fx Change Invested assets (1) Insurance Solutions +26% Growth in invested assets due to Insurance Solutions portfolio Net investment income 1H H % Net investment income increased due to higher running yield on fixed income portfolio Running yield on fixed income portfolio is 4.7% Rol 1H H % 5.3% Swiss Re continues to deliver steady investment result in volatile markets Realised gains of CHF 314m (1H 2005: CHF 540m) Slide 9 (1) Including cash & cash equivalents, excluding assets held for linked liilities; 2005 assets at 2006 fx rates High quality investment portfolio Swiss Re as of : CHF115bn* Insurance Solutions as of : CHF 32bn* Slide 10 Equities 9% Corporate bonds 15% Municipal bonds 29% Cash 15% Other 5% Other 1% Cash 5% Fixed income excl. corporate bonds 66% Fixed income excl. corporate and municipal bonds 27% Corporate bonds 28% Combined as of : CHF 147bn* Equities 7% Other 4% Corporate bonds 18% Cash 7% Municipal bonds 6% Fixed income excl. corporate and municipal bonds 58% Towards end of June 2006, Swiss Re began to reduce municipal bonds in Insurance Solutions portfolio to improve the overall return * At market values; excl. assets held for linked liilities and reinsurance assets

6 Fixed income Value added with active duration management Interest rates and durations Yields US gvt bonds Duration of portfolios In 1H 2006 yields rose in most major 5.1% 9.0 economies % 8.0 Swiss Re extended duration, especially in the 7.0 total return portfolio 4.5% 6.0 Average running yield on Swiss Re s portfolio 4.2% increased from 4.6% to 4.7% 3.9% Net unrealised gains of CHF 1.9bn at the % 3.0 end of 2005 shifted to an unrealised loss of 3.3% CHF 1.7bn at the end of June % 1.0 L&H portfolios matched the duration of the liilities and therefore, market movements 2.7% 0.0 had little economic impact Jun 05 Sep 05 Dec 05 Mar 06 Jun 06 Duration total return portfolio (RHS) Duration L&H portfolio (RHS) Insurance Solutions (RHS) 5-year US govt bonds (LHS) Total return portfolios were short duration and therefore economically benefited modestly from increasing interest rates Slide 11 Fixed income Corporate bonds Combined net credit exposure lower than Swiss Re s exposure in Dec 2005 Development of credit exposure CHF 21.0bn Gross exposure CHF17.7bn CHF 8.9bn CHF 26.6bn CHF 20.6bn Gross exposure Insurance Solutions Gross exposure combined < BBB BBB A > A Net exposure combined Overall gross credit exposure as of end of June CHF 26.6bn vs end of 2005 CHF 21.0bn Insurance Solutions added CHF 8.9bn to the gross credit exposure end of June 2006 Net exposure reduced to CHF 20.6bn end of June 2006 by selling credit securities and purchasing default swaps on investment grade indices Reduced credit exposure mainly of A and BBB credits Slide 12

7 Equities Increased portfolio protection Development of equities in 2006 CHF bn 11 8% 10 7% 9 6% 8 5% 7 4% 6 3% 5 2% 4 1% 3 0% 2-1% 1-2% 0-3% Q 2Q Value at cost (LHS) Unrealised gains/losses (LHS) VaR 99% 1yr (LHS) MSCI (RHS) MSCI daily total return gross world, local currency Swiss Re protected its equity exposure through the purchase of put options and the sale of futures Focus was on European stocks. Exposure to Asian equities was tactically lowered, while appetite for US equities has increased, especially in energy, health care and financial stocks Net realised gains of CHF 425m in 1H 2006 (CHF 159m in 1H 2005) Net unrealised gains on balance sheet of CHF 920m at the end of June 2006 (CHF 1 136m as of ) Slide 13 Agenda Introduction Ann Godbehere Business performance Insurance Solutions summary Jacques Aigrain Catastrophe perils update Strategic direction & Group outlook Slide 14

8 Property & Casualty Strong traditional business performance in CHF millions Traditional business 1H 2005 at 1H06 fx 1H 2006 Change Total revenues % Premiums earned up 1% Investment result increased 24% due to higher yields and realised gains Operating income % Significantly increased underwriting performance (CHF 242m at constant fx rates) P&C, tradit. combined ratio 96.3% 93.0% Strong underwriting performance in line with renewals Prior year development nil Slide 15 July 2006 premium volume exceeds CHF 3bn and renewed portfolio increases 13% July renewals traditional portfolio CHF 2.3bn 140% 120% 100% 80% 60% 40% 20% 0% 100% Total renewle July % Pending -26% Cancelled or replaced 69% Renewed 9% Increase on renewal 27% New business/ replacement 5% This represents 13% increase on the renewed block, comprising: Rates 7% 2% Growth in share 3% Exposure change 3% Pending Rate changes are pure improvements of quality of our book Increased loss expectancy and claims inflation are included in exposure growth All renewal figures are estimated and calculated at constant foreign exchange rates CHF 3.1bn 134% 24% 110% Estimated outcome Swiss Re increased premium volume by 10% reflecting strong underwriting conditions Insurance Solutions book contributes 24% ove expectations Rates increased 7% on top of the increased loss expectancy Property proportional rates were flat but non-proportional rates increased strongly Casualty rates remain favourle but are moderately declining; no concessions on terms & conditions Slide 16

9 Life & Health Continued strong contributor in CHF millions Operating revenues Total L&H business 1H 2005 at 1H06 fx H Change +3% excl. securitisation -316 Securitisations Premiums earned up 4% driven by new life business in US, UK and Asia, and health business in Europe acquired through IS Lower participating gains in Admin Re SM which are reflected in lower claim costs (no impact on result) Operating result % Excellent claims experience in traditional health and favourle mortality experience and fee-based performance in Admin Re SM Return on op. revenues 9.5% 11.0% Slide 17 Life & Health New traditional business increases IRR to 13.8% CHF millions 1H H H 2006 at 1H 06 fx rates Capital invested in new traditional business Capital invested in new Admin Re SM business Total capital invested in new business Value added by new business IRR new business after tax 12.3% 12.3% 13.8% Slide 18 Swiss Re only

10 Financial Services Continued good underlying performance in CHF millions 1H 2005 at 1H06 fx 1H 2006 Change Total revenues % Premiums up 15% on strong renewals in Credit Solutions Strong growth of third party AM activities Trading revenues up substantially Operating income H 2005 included large favourle claims settlement agreement in Credit Solutions Underlying performance satisfactory Credit Solutions combined ratio (traditional) Return on revenues (fee business) 69.9% 12.5% 88.3% 13.3% 1H 2005 positively impacted by claims settlement agreement Credit environment still attractive and combined ratio in 1H 2006 excellent Slide 19 Acquisition financing successfully completed and well balanced Components of financing Successful financing completed Internal cash Senior debt USD 1.21bn USD 0.78bn Originally planned equity funding reduced by USD 0.8bn and replaced by internally generated cash Sub debt MCS Equity USD 2.02bn USD 1.32bn USD 3.49bn Well balanced mix of equity and mandatory convertible securities (MCS) of 55% and fixed income securities and internal cash of 45% Total consideration USD 8.82bn Slide 20

11 Insurance Solutions Reconciliation of purchased goodwill in USD millions Total consideration to GE Net book value at historic values Excluded business (1) Asset/liilities retained by GE +627 Purchase accounting before goodwill (2) +121 Historic goodwill eliminated Purchased goodwill pre equalisation (3) Subtotal Slide 21 (1) US Life & Health business (2) Subject to change for full FY 2006 (3) Goodwill pre equalisation reserves Equalisation reserve net of tax (moves to equity under US GAAP) 374 Goodwill post equalisation reserves Agenda Introduction Ann Godbehere Business performance Insurance Solutions summary Jacques Aigrain Catastrophe perils update Strategic direction & Group outlook Slide 22

12 Insurance Solutions integration well on track Day 1 execution Swiss Re risk management tools in place Underwriting guidelines & authorities defined Joint approach to client relationships implemented Operations fully coordinated due to strong integration preparation Key ongoing initiatives New growth opportunities being identified Actively pursuing realisation of cost savings Implementing new processes to strengthen organisational efficiency Assessing opportunities to simplify carrier structure Results Attractive growth through retention of high quality business Addition of strong talent, new markets and product lines Strong capitalisation of combined entity Slide 23 Key talent retained Former Insurance Solutions employees 1 st management level 2 nd management level at closing joining Swiss Re at closing joining Swiss Re former Insurance Solutions key people of 1 st and 2 nd management level joining Swiss Re Alberto Izaga appointed to Swiss Re s Executive Board as Head of Life & Health Products Swiss Re s 2 nd management level now consists of 87% previous Swiss Re and 13% former Insurance Solutions professionals Slide 24

13 Restructuring well under way Step 1 Total 485 positions made redundant, including Swiss Re managers, IT positions and agreement with working parties in Germany on social plan Step 2 Further measures to be specified in autumn 2006 with primary effects in 2007 Additional approx positions of combined entity to be reduced Restructuring costs (in CHF millions) 1H 2006 Insurance Solutions (Purchase GAAP) 114 Swiss Re 87 Total 201 Slide 25 Insurance Solutions Acquired business with good profitility 21 days ( ) Non-life Life & Health Premiums earned in CHF 265m 120m Combined ratio 95.8% n.a. Return on operating revenues n.a. 10.9% By unit* L&H reinsurance by LoB* Life & Health Reinsurance; 33% P&C Reinsurance; 47% Health; 72% Life; 28% Primary Commercial Insurance; 20% Slide 26 Insurance Solutions further diversifies Swiss Re s book of business, in particular US regional non-life and European life businesses * Indicative split based on 1H 2006 premiums earned, unaudited

14 Selective July renewal of Insurance Solutions book with high retention rate July renewals total traditional portfolio Insurance Solutions CHF 0.6bn 120% 100% 80% 60% 40% 20% 0% 100% -7% Total Pending renewle % Cancelled or replaced 64% Renewed 5% Increase on renewal 15% This represents 8% increase on the renewed block, comprising: Rates 3% Growth in share 2% Exposure change 3% New business/ replacement 7% 91% Pending Rate changes are pure improvements of quality of our book Increased loss expectancy and claims inflation are included in exposure growth All renewal figures are estimated and calculated at constant foreign exchange rates CHF 0.55bn Estimated outcome Successful July renewals with lower attrition rate than anticipated Significant volume (CHF 91m) from new clients or replacements Rates increased 3% for July renewals which is dominated by Americas regional proportional business (with less exposure to peak risks) Quality of rate development comparle with Swiss Re but Swiss Re book benefited from strong rate increases for large corporate risks Slide 27 Agenda Introduction Ann Godbehere Business performance Insurance Solutions summary Jacques Aigrain Catastrophe perils update Strategic direction & Group outlook Slide 28

15 Swiss Re is well-diversified among peak exposures Nat cat business represents approx. 11% of P&C premiums earned Single event claims, 200 year return period as of CHF bn Gross Net Gross Net Gross Net Gross Net Gross Net European Atlantic California Japanese Japanese windstorm hurricane earthquake earthquake typhoons Swiss Re Insurance Solutions Combined net exposure* Slide 29 * Net of estimated hedging impacts (cat bonds, industry loss warranties, retrocessions) 2006 catastrophe perils pricing is attractive for Swiss Re Natural catastrophe perils for FY 2006 Premiums for claims xs CHF 20m Expected claims xs CHF 20m CHF 1.8bn CHF 1.1bn Figures are for all catastrophe perils inclusive of Insurance Solutions portfolio, on an annualised basis net of estimated hedging impacts (cat bonds, industry loss warranties, retrocessions) Expected claims reflect all impacts of Swiss Re s remodelling of Atlantic hurricane Slide 30

16 Swiss Re s catastrophe perils hedging has grown further in CHF m Jul 99 Jul 00 Jul 01 Jul 02 Jul 03 Jul 04 Jul 05 Jul 06 Insurance Solutions retro Industry loss warranties (ILW) Insurance linked securities (ILS) Swaps Swiss Re retro Swiss Re has used cat bonds (Successor, Arbor, Australis), industry loss warranties, swaps and retrocession to hedge cat risk Slide 31 Improved earnings stility CHF 3.4 billion total nat cat hedging in CHF millions as of as of Earnings layer protection Capital layer protection Total layer protection thereof US hurricane protection Lower layer protection significantly improves Swiss Re s earnings and risk profile going forward Slide 32

17 US onshore hurricane Exposure and protection of Swiss Re 0.8% USD125bn Loss probility Industry loss 15% USD18bn 0% 50% 100% Substantial protection exists throughout the risk spectrum Protection is twofold: low attaching protection against severe earnings volatility through ILS, ILW and retrocession medium to high attaching hedging for capital protection through ILS, retrocession and risk swaps Slide 33 Hedging* Loss for Swiss Re * Data includes assumptions out the basis risk between inwards indemnity covers and outwards hedging based on parametric or market loss triggers. Agenda Introduction Ann Godbehere Business performance Insurance Solutions summary Jacques Aigrain Catastrophe perils update Strategic direction & Group outlook Slide 34

18 1H 2006 Strong underlying performance across all businesses Overall net income up 16% vs 1H 2005 Total combined ratio of traditional non-life business at 92.7% Underlying portfolio profitility increased as a result of attractive rates and tighter terms & conditions introduced in previous years L&H continued strong contributor Good investment performance with ROI of 5.3% Acquisition of Insurance Solutions completed on 9 June 2006 Operational expense savings still to come Slide 35 Strategic direction overview (I) Aspiration To be the leading force in the risk transfer industry, combining professional resources and skills with customer focus to deliver economic profit growth Strategic direction Building blocks Generate economic profit growth Reduce earnings volatility Deliverles Best in class customer service Slide 36 Enlarge market scope Foundation of success Advance organisational excellence Attractive shareholder returns

19 Strategic direction overview (II) Generate economic profit growth through Intelligent cycle management and efficient capital allocation Reduce earnings volatility through Our capital markets expertise, scale and diversification Enlarge market scope through Organic and transaction-related activities to address the needs of our clients Advance organisational excellence through Efficient processes, innovative skills and professional expertise Slide 37 Based on quality of Swiss Re s business, strong underlying performance from all businesses anticipated for FY 2006 EPS growth and ROE targets over the cycle reconfirmed Earnings per share and Group targets over the cycle in CHF Swiss Re confident for the future Underwriting discipline and focus on business quality Over the cycle targets: EPS growth 10% ROE 13% Legacy issues Yield on assets Insurance Solutions integration and synergies H 2006 Growth opportunities in niches, specialties and client reach Slide 38

20 Corporate calendar 11 September 2006 Analysts meeting, Monte Carlo 20 November 2006 Investors day, Rüschlikon 13 February 2007 Renewals conference call 1 March 2007 Annual results 2006, Analysts meeting Slide 39 Appendix Slide 40

21 Group income statement Earnings up 11% at constant fx rates CHF millions 1H2005 1H 2005 at 1H 2006 Change 1H 2006 fx Revenues Premiums earned % Net investment income % Net realised investment gains % Trading revenues % Other revenues % Total revenues % Expenses Claims and claim adjustment expenses % Life and health benefits % Acquisition costs % Amortisation of goodwill % Other operating costs and expenses % Total expenses % Income before income tax expense % Income tax expense % Net income % Slide 41 Earnings per share in CHF Basic % Diluted % 1H 2006 by segment Insurance Solutions CHF millions Property & Life & Financial Life & Casualty Health Services Other Non-life Health Total Revenues Premiums earned Net investment income Net real. investment gains Trading revenues Fees, commissions & other Total revenues Expenses Claims & claims adj. exp.; life and health benefits Acquisition costs Amortisation of goodwill Other op. costs & expenses Total expenses Operating income Combined ratio, trad. business 92.9% 95.8% Return on op. revenues 11.0%* 10.9% Combined ratio (Credit Solutions, trad.) 88.3% Slide 42 * excl. non-participating net realised gains of CHF 77m

22 Group premiums split traditional Total Admin Non-life Securiti- CHF millions P&C Cred. Sol. Non-life L&H traditional Re SM non-trad sation Total 1H 05 premiums earned FX impact Premiums 1H 05 at 1H 06 rates Growth from Swiss Re Growth from IS H 06 premiums earned Published growth 5% 18% 6% 13% 8% 3% -38% 73% 5% Total growth (constant fx) 1% 15% 2% 7% 4% -2% -41% 63% 0% Slide 43 Swiss Re s effective capital management Senior financial debt Hybrid capital Shareholders' equity Hybrid to total capital Senior financial debt to total capital CHF billions *) *) *) % 30% 25% 20% 15% 10% 5% Swiss Re s value proposition includes commitment to prudent capital management At the same time financial flexibility and capital efficiency will continue to improve over time H 2006 Hybrid / total capital 12.8% 15.5% 14.4% 17.4% 18.0% 22.3% Senior debt / total capital 11.0% 9.9% 6.2% 4.3% 2.4% 3.4% 0% IS financing mix includes USD 2bn of hybrid capital Slide 44 *) Incl. mandatory convertibles of CHF 1 044m in 2004, CHF 1 000m in 2005 and CHF 609m in first half 2006, respectively, which received full equity credit from Moody s and S&P; accounted for as senior debt in financial statements

23 Return on equity increased to 13.9% CHF millions 1H H 2006 Net income Opening equity ½ net income Dividend payment 1) Change in CTA 2) Time weighted equity issue/repurchase Base equity Return on equity (annualised) 13.0% 13.9% Slide 45 1) Time weighted 2) CTA = Currency Translation Adjustments Operating cash flows lower reflecting claims payments for 2005 storms CHF millions 1H H 2006 Cash flows provided (used) by operating activities Cash flows provided (used) by investing activities Cash flows provided (used) by financing activities Effect of foreign currency translation Reclassification to Financial Services assets Change in cash and cash equivalents Cash and cash equivalents as of 1 January Cash and cash equivalents as of 30 June Slide 46

24 Good return on investments of 5.3% Good investment return despite challenging market conditions achieved by means of managing credit risk, protecting equity down-side risk and prudently realising capital gains Swiss GAAP Swiss GAAP M-t-m M-t-m CHF millions 1H H H H 2006 Net investment income thereof: Insurance Solutions Net realised investment gains thereof: Insurance Solutions (1) (1) Total ROI (2) 5.2% 5.3% 7.6% -0.6% Slide 47 (1) Under mark-to-market valuation, also reflects total change in unrealised gains and losses (2) Return on investments calculated by using average foreign exchange rates and Swiss Re stand alone (excl. Insurance Solutions) Return on investments calculation CHF millions 1H 2005 avg fx 1H 2006 avg fx Investment result (as defined in income statement) Adjustments 1) Investment result (investment return target base) Investments (as defined in the balance sheet) Adjustments 2) Net cash deposits with ceding companies 3) Net cash equivalents 4) Net reinsurance assets 5) Invested assets (investment return target base) Opening balance sheet invested assets Turnover Opening balance sheet + 1/2 turnover Return on investments 5.2% 5.3% Slide 48 1) Income from current cash accounts, Insurance Solutions, participating business and other adjustments 2) Separate account business, assets held for linked liilities, derivative financial instruments with negative replacement values and amortised goodwill, Insurance Solutions, participating business and other adjustments 3) Cash deposits with ceding companies less cash deposits withheld from retrocessionaires 4) Deposits with credit institutions below 3 months less amounts owed to credit institutions 5) Receivles related to deposit accounting contracts less payles related to deposit accounting contracts

25 Net investment income grew 7% Net investment income increased 7% to CHF 2.8 billion, as Swiss Re invested in higher yielding bonds CHF millions 1H H H fx Fixed income % Equities % Other asset classes % Gross investment income % Investment expenses % Thereof: Internal management expenses % Interest credited on securitisations % Net investment income % Slide 49 Net realised gains of CHF 0.3bn Net realised gains were CHF 0.3 bn in 2006, reflecting Swiss Re s prudent investment approach which continued to produce significant realised gains in volatile markets CHF millions 1H 04 1H 05 1H 06 Change Realised investment gains Fixed income Equities Other Net impairments Fixed income Equities Other Total net realised investment gains Slide 50

26 Net unrealised gains on and off balance sheet Net unrealised gains decreased in 1H 06 reflecting rising interest rates. This has little economic impact as fixed income securities backing L&H are duration matched and actually slightly short of target duration for total return portfolios CHF m, pre-tax 31 December at 1H 2006 fx rates 30 June * On B/S: 115 Off B/S: 96 Off B/S * On B/S: 107 Off B/S: 95 Off B/S On B/S: 138 Off B/S: 228 Off B/S On B/S On B/S On B/S -120 Unreal. gains/ losses on equities -114 Unreal. gains/ losses on equities Off B/S Slide 51 Equities Fixed income Real estate Other Swiss Re successfully adjusted durations as interest rates rose Average fixed income investments (CHF bn) (1) Fixed income avg running yield (2) Duration (years) H H L&H managed to yield % 5.7% Total return portfolios % 3.9% US % 4.1% Rest of the world % 3.6% Total Swiss Re stand alone % 4.7% Insurance Solutions % Average yield (US treasury 5y) 4.0% 4.7% Slide 52 (1) Calculated using average foreign exchange rates (2) Weighted average Swiss GAAP gross investment income, in local currency

27 Stle high quality asset allocation Swiss Re s overall gross asset allocation* remained almost unchanged at constant fx rates Balance sheet of which assets held for linked liilities Market values of which assets held for linked liilities Swiss Re stand alone IS Combined Balance sheet values * 160 (CHF billions) 14% 6% 140 1% 3% 6% 85% 7% 120 4% 7% 5% 9% 7% 3% 5% 100 4% 7% 8% 80 5% Cash and cash equivalents 60 Other investments 40 82% 83% 83% 82% 84% Equities 20 Fixed income at fx Slide 53 * Excluding assets held for linked liilities and reinsurance assets High credit quality of corporate bonds 92% rated investment grade Swiss Re, Credit quality of corporate bonds combined as of BBB 34% (2005: 36%) CHF 17.7bn Below BBB 6% (2005: 7%) AAA 9% (2005: 8%) AA 9% (2005: 7%) A 42% (2005: 42%) Below BBB 8% AAA 8% AA 11% Insurance Solutions, BBB 29% Below BBB 10% AAA 6% BBB 19% AA 17% A 44% CHF 8.9bn A 48% Combined: CHF 26.6 bn (gross exposure) Slide 54

28 Already high credit quality of corporate bond portfolio increased Overall credit quality in Swiss Re s portfolio remained high with 92% of corporate bonds rated investment grade However, Swiss Re took a proactive approach to the management of credit exposures by selling credit securities, reinvesting in US treasuries, agency bonds and mortgages and by purchasing default swaps on investment grade indices Rating split of corporates (market values), CHF millions Slide Swiss Re stand alone Gross IS Gross Combined Gross AAA % % % AA % % % A % % % BBB % % % BB % % % B % % % CCC % % % NR % % % Total % % % Net Property & Casualty Earnings up 46% at constant fx rates CHF millions 1H H H 2006 Change at 1H 06 fx Revenues Premiums earned % Net investment income % Net realised investment gains/losses % Trading revenues, fees & commissions % Total revenues % Expenses Claims and claim adjustment expenses % Acquisition costs % Other operating costs and expenses % Total expenses % Operating income % Slide 56 Traditional business only Claims ratio in % Acquisition cost ratio in % Administration expense ratio in % Combined ratio in %

29 Combined ratios P&C trad. business Prior year development nil 6% 12% Premium split of trad business by LoB Total: CHF 7 436m (3) 18% Property Motor Specialty 27% 37% Liility Accident 1H 2005 (1) 1H 2006 Main drivers of change Property 71.9% 85.5% Liility 129.5% 101.9% Motor 100.3% 93.7% Accident 86.7% 110.5% Specialty (2) 90.9% 89.2% Total 96.3% 93.0% Continued good experience; 2005 reflects reserve releases & positive developments on large claims Strong improvement in development from prior years Reserve releases in 2006 with steady underlying performance Adverse development mainly in US and the writing of large proportional contract Continued good underlying performance with positive development in both years Strong underlying performance Slide 57 (1) 1H 2005 combined ratios adjusted for move of Risk Solutions to P&C (2) Specialty includes marine, engineering, multilines and other (3) Including retroceded premiums for securitisations of CHF -35m P&C traditional business Prior year development nil Late reported claims from 2005 storms of CHF 240m offset with positive development of CHF 240m from prior years 1H 2006 KRW Prior year Underlying impact develop. combined ratio Property 85.5% 7.2% -7.1% 85.4% Liility 101.9% 2.0% -0.4% 100.3% Motor 93.7% 0.0% -6.9% 100.6% Accident 110.5% 0.0% 20.1% 90.4% Specialty (1) 89.2% 0.3% -4.2% 93.1% Total 93.0% 3.2% -3.2% 93.0% Slide 58 (1) Specialty includes marine, engineering, multilines and other

30 Property & Casualty Demand for non-traditional products reduced in CHF millions Non-traditional business 1H 2005 at 1H06 fx 1H 2006 Change Total revenues % Decrease in total revenues reflects lower client demand Operating income Improved performance driven by investment income Slide 59 Property & Casualty Shift to property non-traditional reduced Premiums earned by line of business 100% 80% 60% 40% 20% 0% 9% 5% 18% 12% 26% 3% 17% 12% 26% 32% 35% 1H H 2006 Property Liility Motor Specialty Accident Non-traditional 5% Increase in property reflects strong price increases in nat cat Non-traditional business reduced due to continuing lower demand for nontraditional products 1H 2006 includes IS premiums of CHF 265m Slide 60 Premiums earned (CHF m)

31 Property & Casualty Product split reflects higher rates in non-proportional property Premiums by type of business (treaty year) 100% 80% 60% 40% 20% 24% 21% 31% 34% 45% 45% Increase in nonproportional business shows strong property market Lower facultative volume due to pressure on rates in the direct markets 0% Slide 61 Proportional Non-proportional Facultative Based on treaty year premiums (2006 estimated), traditional business only Year to date volume exceeds CHF 13bn and renewed portfolio increases 8% YTD renewals traditional portfolio CHF 13.0bn 120% 100% 80% 60% 40% 20% 0% 100% Total renewle YTD % Pending -20% Cancelled or replaced 79% Renewed 6% Increase on renewal Rate changes are pure improvements of quality of our book 15% 1% This represents 8% increase on the renewed block, comprising: Rates 2% Growth in share 3% Exposure change 3% New business/ replacement Pending Increased loss expectancy and claims inflation are included in exposure growth All renewal figures are estimated and calculated at constant foreign exchange rates CHF 13.6bn 105% 101% Estimated outcome 4% Premium volume of Swiss Re book renewed to date increased by 1% despite higher client retentions and shifts to higher layers Insurance Solution book which renewed in July added CHF 550m of premium (=4%) Slide 62

32 Strong emphasis on lines of business producing the highest returns YTD renewals incl. Insurance Solutions CHF m Property Property Liility Motor Specialty Credit Total proportional non-proportional Solutions Growth -10% 23% -9% -6% 4% 11% 1% Premiums expiring Premiums Split of renewed book Swiss Re s focus on disciplined underwriting led to cancellations in liility and motor Total: CHF 13.6bn Property proportional 16% Property non-proportional 23% Liility 21% Motor 13% Specialty 20% Credit Solutions 7% Slide 63 6% growth on the combined book in July renewals July renewals incl. Insurance Solutions CHF m Europe Americas Asia Globals & Credit Total Large Risks Solutions Growth -17% 8% -7% 16% 0% 6% Premiums expiring Premiums Split of renewed book Premium volume for the block of business which was up for renewal in July has increased by 6% Rate adequacy for July renewals increased from Total: CHF 3.1bn 107% to 119% Europe 5% Americas 53% Asia 10% Globals & Large Risks 31% Credit Solutions 1% Top-line growth and profitility strongly influenced by Cat book in Americas and Globals Lower premium volume in Asia is due to cancellations of unattractive proportional property accounts in Australia and South-East Asia Slide 64

33 Catastrophe rates drive overall growth of 6% July renewals incl. Insurance Solutions CHF m Property Property Liility Motor Specialty Credit Total proportional non-proportional Solutions Growth -28% 36% 2% -10% 18% 0% 6% Premiums expiring Premiums Split of renewed book Total: CHF 3.1bn Property proportional 12% Property non-proportional 32% Liility 40% Motor 3% Specialty 12% Credit Solutions 1% Strong shift from proportional to non-proportional property Non-proportional property which is mostly cat business shows impact of rate increases Increase in Specialty is mainly coming from engineering (Americas, Globals) and marine (Europe, Americas) Slide 65 Pricing adjusted favourly in 2006 Catastrophe excess of loss treaties Nat cat perils prices have continued to increase sharply through 1 July renewals, pulling up overall price levels Annual risk-adjusted premium level change in % 60% Market index % % 100 0% 50 Slide 66-20% e Global CAMARES rel. change in% Global market index (RHS) Global/National CAMARES rel. change in% Global/National market index (RHS) Source: CAMARES; Swiss Re s cat market research analyses the profitility of cat programmes in the 13 largest markets 0

34 USD 950m Successor cat bond A very positive market response Successor is a follow-up to Swiss Re s Pioneer and Arbor programmes protects Swiss Re s four peak nat cat risks: Atlantic hurricane, Europe windstorm, California earthquake and Japan earthquake includes protection against lower-layer earnings volatility events as well as higherlayer capital events provides Swiss Re full flexibility, with additional issuance possible at any time Covered perils Multiperil USD m Euro Wind USD m US Wind USD m CA EQ USD 47.50m Japan EQ USD m Pricing convergence: Swiss Re s July 1 Atlantic hurricane reinsurance prices were ove Successor financing costs Total = USD 950m Slide 67 Life & Health Operating result up 17% at constant fx rates to CHF 774m Slide 68 CHF millions 1H H H 2006 Change at 1H 06 fx Revenues Premiums earned % Net investment income % Participating realised investment gains % Operating revenues % Non-participating realised investment gains % Total revenues % Expenses Claims and claim adjustment expenses; life and health benefits % Acquisition costs % Other operating costs and expenses % Total expenses % Operating income % Operating result, excl. non-participating realised investment gains % Management expense ratio in % Return on operating revenues in %

35 Life & Health Premium growth of 4% driven by traditional business and Insurance Solutions Premiums in CHF millions Premiums 1H 2005, fx adjusted Traditional business Strong growth in life business in Europe and Asia and satisfactory in US Good growth in Accident & Health in Asia Admin ReSM Insurance Solutions Admin Re SM reflects normal run-off of portfolio Sub-total Securitisations % -99 Impact of securitisations CHF -186m in 1H 2006 compared to CHF -87m in 1H 2005 Premiums 1H % Slide 69 * 1H 2005 adjusted for positive fx impact of CHF 262m Life & Health Operating result increased 17% mainly driven by increase of Admin Re SM result Operating result in CHF millions Operating result 2005, fx adjusted Traditional L&H Admin ReSM Insurance Solutions L&H strong and stle contributor Good claims experience and fee-based performance in the Admin Re SM business Growth and very good claims experience in the traditional health business, traditional life in line with expected Subtotal Securitisations % -19 Full six month impact of the two successful life profit securitisations completed in 2005 Operating result 1H % Slide 70 * 1H 2005 operating result adjusted for positive fx impact of CHF 32m

36 Life & Health Traditional L&H result up 10% in CHF millions Traditional L&H business 1H 2005 at 1H 06 fx 1H 2006 Change Operating revenues % Premiums up 7% driven by new traditional life business in the US, UK and Asia, and traditional health business in Europe acquired through Insurance Solutions Operating result % Excellent claims experience in traditional health; traditional life mortality in line with expectations Return on op. revenues 10.0% 10.3% Slide 71 Life & Health Admin Re SM profitility up strongly in CHF millions Operating revenues Admin Re SM 1H 2005 at 1H06 fx 1H Change -4% excl. securitisation Securitisation Lower participating gains (1H 2006: CHF 7m, 1H 2005: CHF 49m at constant fx rates) which are reflected in lower claims costs Operating result % excl. securitisation Securitisation Good mortality experience and good feebased performance Return on op. revenues 8.2% 13.1% 1H 2005 included CHF -19m accelerated amortisation of PVFP which was more than offset in realised gains but lowered 1H 2005 return on revenues Slide 72

37 Life & Health Premiums earned by region 100% 11% 7% 8% 9% 9% 80% 30% 23% 25% 24% 25% 60% 17% 13% 13% 17% 16% 40% 20% 42% 57% 54% 50% 50% Slide 73 0% H 2006 North America traditional SM Admin Re Europe Rest of World CHF millions Premiums earned Historic fx Constant fx Summary balance sheet Assets as of CHF millions of which Change at Change at Ins. Solutions historic fx constant fx Investments % 25% Assets held for linked liilities % 3% Cash & cash equivalents % 26% Reinsurance assets % 44% PVFP/DAC/Goodwill % 22% Financial Services assets % 28% Other assets % 55% Total assets % 28% Slide 74

38 Summary balance sheet Assets as of CHF millions of which Change at Change at Ins. Solutions historic fx constant fx Claims & benefit reserves % 28% of which equalisation reserves Provisions for linked liilities % 3% Reinsurance liilities % 41% Debt % 51% Financial Services liilities % 25% Other liilities % 20% Shareholders equity % 20% Total liilities & equity % 27% Net assets Total Slide 75 Insurance Solutions investment portfolio as of Investments by original currency (note 2 in Financial Statements of Interim Report 2006) CHF millions USD EUR GBP CAD CHF Other Total* Fixed-inc. securities Equity securities Mortgages/oth. loans Assets held f. linked li Other Total Slide 76 *Excluding cash and cash equivalents of CHF 4.4bn

39 Insurance Solutions Income statement Swiss Re Insurance Swiss Re 1H 2005 Swiss Re Solutions Total CHF millions 1H 2005 at 1H 06 fx 1H H H 2006 Revenues Premiums earned Net investment income Net realised investment gains Trading revenues Other revenues Total revenues Expenses Claims & claims adj. expenses Life & health benefits Acquisition costs Amortisation of goodwill Oth. operating costs & expenses Total expenses Operating income Income tax expense Net income after tax Slide 77 Insurance Solutions 21 days only Income statement Life & CHF millions Non-life Health Total Revenues Premiums earned Net investment income Net real. investment gains Total revenues Expenses Claims & claims adj. expenses; life and health benefits Acquisition costs Other operating costs & expenses Total expenses Slide 78 Operating income Non-life combined ratio, traditional 95.8% Return on operating revenues 10.9%

40 Insurance Solutions split by unit and lines of business (LoB) 2005 Split of Insurance Solutions net premiums earned; total of USD 5.66bn in 2005* By unit P&C reinsurance by LoB L&H reinsurance by LoB Life & Health Reinsurance; 27% Inwards retro; 2% Specialty; 31% Inwards retro; 4% Property; 34% Life; 31% Primary Commercial Insurance*; 17% Aquired runoff business; 3% P&C Reinsurance; 50% Accident; 4% Motor; 8% Liility; 19% Health; 69% Insurance Solutions further diversifies Swiss Re s book of business, in particular US regional non-life and European life businesses Slide 79 * excl. net premiums earned for Med Pro of USD 255m Exchange rates Geographic gross premiums written 1H 2006 split in main currencies Other 15% CAD 3% GBP 7% EUR 28% USD 47% Average rates USD/CHF EUR/CHF GPB/CHF CAD/CHF Interim Factual Interim Change Interim 2005/Interim % 0.65% 0.89% 15.46% Change Factual 2005/Interim % 0.65% 0.44% 8.74% Closing rates USD/CHF EUR/CHF GPB/CHF CAD/CHF Interim Factual Interim Change Interim 2005/Interim % 1.29% -1.30% 4.76% Change Factual 2005/Interim % 1.29% 0.44% -2.65% Slide 80

41 Investor Relations contacts Zurich: hotline Susan Holliday Andreas Leu Kathrin Schriber New York Gloria Vogel Slide 81