First Quarter 2012 results. Analyst and investor conference call Zurich, 04 May 2012

Transcription

1 First Qurter 202 results Anlyst nd investor conference cll Zurich, 04 My 202

2 Business performnce George Quinn, CFO 2 Q 202 Finncil highlights A good strt Very strong Group net income USD.bn Return on equity 5.3%, ernings per shre USD 3.33 (CHF 3.08) Strong Group combined rtio 84.9% Good investment result, return on investments 4.0% Strong results in Reinsurnce Excellent P&C net income USD 660m, driven by benign nt ct experience Solid L&H net income USD 209m Strong performnce in Corporte Solutions, net income USD 84m Exceptionl Admin Re results, net income USD 74m Minly driven by one-off tx benefit nd relised gins on investments Book vlue per common shre up.4% to USD (CHF 79.7) SST rtio t 23% SST /202, s filed with FINMA t the end of April, bsed on projection for 202 3

3 Key figures Q 202 USD million, unless otherwise stted P&C Re L&H Re Corporte Solutions Admin Re Group items Q 202 Totl Q 20 Totl Premiums erned nd fee income Net income/loss Return on investments 3.5% 4.3% 3.2% 5.0% 5.3% 4.0% 3.9% Return on equity 25.4% 9.8% 3.9% 9.4% 4.6% 5.3% -0.7% Combined rtio 85.0% % % 63.7% Benefit rtio % % 76.3% Ernings per shre (USD) Ernings per shre (CHF) P&C Re L&H Re Corporte Solutions Admin Re Group items Q 202 Totl FY 20 Totl Shreholders' equity of which unrelised gins Common shreholders' equity Book vlue per common shre (USD) Book vlue per common shre (CHF) Excluding contingent cpitl instruments (new issunce in Q 202: USD 02m), bsis for ROE, BVPS nd ENW clcultions 4 P&C Reinsurnce Strong premium growth, benign nt ct experience Net premiums erned USD m +38.2% Combined rtio % -86.0% pts Net income, ROE USD m, % Q 20 Q 202 Increse in net premiums erned reflects successful Jnury 202 renewls nd continued premium ernings from business written during 20 Net premiums written incresed by.5% 7.0% 85.0% Q 20 Q 202 No lrge nt cts in Q 202, vs expected level of 8.4%pts Net prior yer reserve strengthening of.3% pts, with releses more thn offset by increses in loss estimtes for 20 floods in Thilnd nd EQ in New Zelnd (pprox USD 50m, 4.9% pts impct) Adjusting for expected nt ct nd reserve development CR is 92.% 660 ROE: 25.4% -632 Q 20 Q 202 Strong underwriting result supported by the bsence of lrge nturl ctstrophes Net relised gins (incl. fx) in Q 202 of USD 88m, minly from sles of government bonds Return on investments 3.5% 5

4 P&C Reinsurnce Underwriting performnce Combined rtios in %, premiums nd underwriting result in USD m Q 20 Q 202 Min drivers of chnge Property 254.8% 7.0% Absence of lrge nt cts in Q 202, prtly offset by reserve strengthening for prior yer ct losses Csulty 0.3% 03.% Libility 99.0% 74.2% Motor Accident (A&H) Specilty Mrine Engineering Credit Other Specilty (Avition & Spce, etc) 03.9% 85.7% 93.8% 53.% 79.7% 6.7% 06.3% 0.9% 27.7% 80.5% 39.6% 59.4% 66.4% 39.% Better thn expected net clims experience in prior yers Q 202 minly driven by reserve increses in Itly Unfvourble net clims experience in prior yers Q 202 impcted by grounding of Cost Concordi Good clims experience Good clims experience Smll volume nd reserve releses Net premiums erned Underwriting result Totl 7.0% 85.0% Combined rtios continue to reflect strong underwriting trck record 6 L&H Reinsurnce Solid results, fvourble mortlity experience Operting revenues Benefit rtio USD m % +6.4% -.9% pts Net income, ROE USD m, % Q 20 Q 202 Increse in premiums nd fee income driven by life business in the Americs nd new helth business in Europe New business is growing s expected both in terms of volume nd profitbility 76.3% 74.4% Q 20 Q 202 Fvourble mortlity nd morbidity experience compred to expecttions Adverse results of pre-2004 US business (USD 5m loss) 209 ROE: 9.8% Q 20 4 Q 202 VA, pre-2000 GMDB loss prtly offset by B36 resulting in loss of USD 27m Net relised gins (incl. fx) 2 of USD 8m in Q 202, minly from sles of government bonds Return on investments 4.3% Benefit rtio excludes the impct of VA & pre-2000 GMDB from ll periods presented 2 Net relised gins excludes relised gins/losses relted to reinsurnce trnsctions (VA, pre-2000 GMDB, B36, etc) of USD -8m, which is contined in the VA, pre-2000 GMDB, B36 result of USD -27m 7

5 L&H Reinsurnce Sources of ernings including vrition in USD m Q 20 Tx net expense income, published 8 2 VA, pre-2000 GMDB, impct from B36 Net relised losses (incl. fx) Q 20 Mortlity / Pre-2004 Chnges Other, incl. Q 202 operting morbidity US business in models & expenses, operting income, excl. (lpse) ssumptions cedent updtes, income, excl. mrket voltility mrket voltility fx) premium refunds, etc Net relised gins (incl. VA, pre-2000 GMDB, impct from B36 Tx expense Q 202 net income, published Q 202 ctul vs expected Highest Averge Q (3 qurters) vrition vs expected Lowest Net relised gins/losses excludes relised gins/losses relted to reinsurnce trnsctions (VA, pre-2000 GMDB, B36, etc) 8 Corporte Solutions Strong performnce, solid growth, benign lrge loss experience Net premiums erned USD m +28.3% Combined rtio % -39.2% pts Net income, ROE USD m, % Q 20 Q 202 Net premiums erned incresed 28.3%, reflecting successful business growth cross ll mjor lines of business 23.9% 84.7% Q 20 Q 202 No impct from nt ct events, 3.8% pts below expected Positive reserve development, impcting CR by 7.3% pts Adjusting for norml nt ct nd reserve development CR is 95.8% Combined rtio on bsis of estimted totl finncil contribution to Swiss Re Group 74.0% 84 ROE: 3.9% -42 Q 20 Q 202 Strong underwriting results Return on investments 3.2% Net relised gins of USD 3m, including USD 6m of losses on derivtive ccounted wether business due to n unusully wrm winter ROE on bsis of estimted totl finncil contribution to Swiss Re Group 23.9% Estimted totl finncil contribution of Corporte Solutions business written within Swiss Re Group, s shown t Investors' Dy 202, incl. development of historic loss reserves remining in Reinsurnce for CR nd ROE, s well s relted investment income nd dditionl USD 0.5bn shreholders' equity for ROE 9

6 Admin Re Exceptionl result, supported by relised gins nd one-off items Gross csh genertion USD m -5.3% Return on investments % -0.% pts Net income, ROE USD m, % % % 5.0% 74 ROE: 9.4% Q 20 Q 202 Gross csh genertion reflects sttutory surplus from life compnies less working cpitl requirements Decrese minly due to restructuring expenses nd costs ssocited with integrtion of ALICO business, prtilly offset by n improvement in equity mrkets Q 20 Q 202 ROI driven by net investment income on fixed income ssets nd relised gins of USD 6m Running yield on the fixed income portfolio is 4.3% for Q 202 Q Q 202 Net income driven by relese of tx vlution llownce of USD 77m ginst historicl losses Higher investment performnce from unit-linked business Fvourble mortlity nd lpse experience USD 20m Additionl expenses of USD 26m minly from restructuring costs 0 Group investment result Good investment performnce, supported by gins Avg. invested ssets USD bn, bsis for ROI clcultion +0.9% Return on investments % +0.% pts Totl return % -.2% pts Q 20 Q 202 Invested ssets include investments, securities in trnsit, finncil libilities nd exclude csh, policy lons, ct bonds, other insurnce relted securities Miniml exposure to peripherl EU government debt USD 56m Durtion lrgely mtched, DVO USD -2.2m 3.9% 4.0% Q 20 Q 202 ROI 4.0% for Q 202, driven by net investment income on fixed income nd relised gins ROI excluding fx of 4.4% in Q 202; Q 20: 4.% Group fixed income running yield of 3.5%; Q 20: 3.7% Impirments of USD 79m in Q 202; Q 20: USD 88m.8% 0.6% Q 20 Q 202 Totl return for both periods impcted by higher interest rtes Unrelised losses of USD -.bn in Q 202 Net relised gins (incl. fx) of USD 338m primrily driven by relised gins on sles, offset by m-t-m losses on hedges

7 Shreholders' equity Q 202 Increse in common shreholders' equity from strong net income, prtly offset by reduction in unrelised gins USD m Gov bonds -.8 Corp bonds 0.2 Sec products 0.2 Equities nd others 0.3 Tx 0.4 Totl Shreholders' equity 3 Dec 20 Net income ttributble to common shreholders Other Foreign currency trnsltion djustments Net chnge in unrelised gins/losses Common shreholders' equity 3 Mrch 202 Contingent cpitl instruments Shreholders' equity 3 Mrch 202 Net income nd issunce of two contingent cpitl instruments increse shreholders' equity Rise in interest rtes led to reduction in unrelised gins on government bonds Corporte bonds nd equities benefit from tightening credit spreds nd equity mrket rlly Bsis for ROE, BVPS nd ENW clcultions 2 P&C Reinsurnce: April 202 renewls Strong growth, substntil price increses Jnury 202 renewls Jnury trety portfolio USD 9.0bn April 202 renewls April trety portfolio 00% Up for renewl Jn 202 USD.4bn 00% Up for renewl April 202 USD 0.8bn 20% Estimted outcome USD.6bn 4% Estimted outcome YTD 202 renewls (Jnury April) Trety portfolio USD 2.4bn USD 0.4bn 9% 00% Up for renewl YTD 202 Estimted outcome Strong growth from incresing prices, lrger shres of wllet nd dditionl demnd for pek nt ct exposures in Asi Substntil price increses in Asi region, our portfolio price qulity incresed on risk djusted bsis by 7% pts for April renewls Trend of incresing prices is expected to continue in 202; we re prepred to deploy more cpitl to the most ttrctive opportunities Jnury 202 numbers hve been restted with current fx rtes 3

8 Group finncil trgets Good progress ginst trgets ROE 700 bps bove risk free verge over 5 yers (20-205) EPS growth 0% verge nnul growth rte over 5 yers (20-205) in % in USD vg. 20E Q 202 vg E 205E Q E = reported ROE = reported EPS = 700 bps bove US Gov 5 yers = vg. nnul growth (bse: 200) ENW per shre will be vilble on bi-nnul bsis Excl. CPCI 2 Assumes constnt foreign exchnge rte 4 Summry nd outlook Very strong Group performnce in Q 202; ll segments contributed positively Strong underlying result boosted by bsence of mjor nturl ctstrophes nd relised gins on investments Successful April renewls in P&C Trend of incresing prices is expected to continue; we re prepred to deploy more cpitl to the most ttrctive opportunities Continued focus on free csh flow; Admin Re to py dividend to Group in Q2 202 of USD 75 million Achieving our finncil trgets remins our top priority 5

9 Appendix 6 Appendix Business segment results Q 202 P&L Business segment results Q 202 Blnce sheet Shreholders' equity Q 202 Nt ct nd lrge clims L&H Income brek-down Corporte Solutions Underwriting performnce Group items Other ssets/libilities Net investment income Net relised gins/losses Net unrelised gins/losses Return on investments bsis Return on investments (ROI) Overll investment portfolio Fixed income securities Government bonds Corporte bonds Securitised products Equities nd Alterntive Investments Investment mix nd mid-term pln Swiss Re's cpitl structure Number of shres Exchnge rtes Corporte clendr & contcts Cutionry note on forwrd-looking sttements 7

10 Business segment results Q 202 P&L Reinsurnce Corporte P&C Re L&H Re Solutions Admin Re Group items Totl Q 202 Totl Q 20 USD millions Revenues Premiums erned Fee income from policyholders Net investment income/loss non prticipting Net relised investment gins/losses non prticipting Net investment result unit-linked nd with-profit Other revenues Totl revenues Expenses Clims nd clim djustment expenses Life nd helth benefits Return credited to policyholders Acquisition costs Other expenses Interest expenses Totl expenses Income before income tx expenses Income tx expense/benefit Net income/loss before ttribution of non-controlling interests Income ttributble to non-controlling interests Net income/loss fter ttribution of non-controlling interests Interest on contingent cpitl instruments Net income/loss ttributble to common shreholders Business segment results Q 202 Blnce sheet Consolidtion Reinsurnce Corporte P&C Re L&H Re Solutions Admin Re Group items Consolidtion Totl Q 202 Totl FY 20 3 Mrch 202, USD millions Assets Fixed income securities Equity securities Other investments Short-term investments Investments for unit-linked nd with-profit business Csh nd csh equivlents Deferred cquisition costs Acquired present vlue of future profits Reinsurnce recoverble Other reinsurnce ssets Goodwill Other Totl ssets Libilities Unpid clims nd clim djustment expenses Libilities for life nd helth policy benefits Policyholder ccount blnces Other reinsurnce libilities Short-term debt Long-term debt Other Totl libilities Shreholders' equity thereof contingent cpitl instruments Non controlling interests Totl equity Totl libilities nd equity

11 Shreholders' equity Q 202 USD millions Reinsurnce P&C Re L&H Re Corporte Admin Group Totl 2 Solutions Re items Q 202 Shreholders' equity t 3 December Net income ttributble to common shreholders Dividends Other (incl. fx) Net chnge in unrelised gins/losses Common shreholders' equity Contingent cpitl instruments Shreholders' equity t 3 Mrch Non controlling interests Totl equity t 3 Mrch ROE clcultion Reinsurnce P&C Re L&H Re Corporte Admin Group Totl 2 Totl USD millions Solutions Re items Q 202 FY 20 Net income/loss ttributble to common shreholders Opening common shreholders' equity Averge common shreholders' equity ROE, nnulised 8.4% 25.4% 9.8% 3.9% 9.4% 4.6% 5.3% 9.6% Bsed on published net income ttributble to ordinry shreholders 2 Totl is fter consolidtion 20 Nt ct nd lrge clims Nt ct premiums nd clims USD m Totl est. FY 202 P&C Re Corporte Solutions Expected net premiums Expected net clims Nt ct nd mn-mde lrge clims USD m 20 Totl est. net clims Q 202 net chnge P&C Re Corporte Solutions Erthquke New Zelnd Februry Erthquke Jpn Mrch Floods in Thilnd October Grounding Cost Concordi Jnury Offshore fire loss Jnury Only events exceeding USD 20m included, net premiums fter cquisition costs Estimted net clims re updted for subsequent chnges in ultimtes nd re not fx revlued 2

12 L&H Re Income brek-down USD m Q 20 Q2 20 Q3 20 Q4 20 Q 202 Net income of which pproximtely: Net relised gins/losses VA, pre-2000 GMDB, impct from B36 Mortlity nd morbidity compred to expecttions Chnges in models nd ssumptions Q 202 Mortlity experience fvourble when compred to expecttions, primrily in the Americs Morbidity experience lso fvourble when compred to expecttions, primrily in Europe Pre-2004 US business Benefit rtio % 72.4% 76.7% 72.6% 74.4% Net relised gins/losses excludes relised gins relted to reinsurnce trnsctions (VA, pre-2000 GMDB, B36, etc) 2 Benefit rtio excludes the impct of VA & pre-2000 GMDB from ll periods presented 22 Corporte Solutions Underwriting performnce Combined rtios in %, premiums nd underwriting result in USD m Q 20 Q 202 Min drivers of chnge Net premiums erned Underwriting result Property 239.7% 79.5% 202 no impct from nt ct events 6 33 Csulty 67.6% 93.7% Fvorble libility commuttion of A&E reserve in 20, not repeted Specilty Credit 78.8% 36.8% 80.0% 63.3% Good net clims experience in Other Specilty 93.5% 88.3% One lrge fire loss in Mrine in impcted by EQ Jpn, prtilly offset by fvorble prior yer reserve development 20 4 Totl 23.9% 84.7%

13 Group items USD m Q 20 Q 202 Revenues Premiums erned 8 - Net investment income 4 2 Net relised investment gins/losses Other revenues Totl revenues Expenses Clims nd clim djustment expenses nd L&H benefits -9 Acquisition costs -5 - Group function expenses Indirect nd other txes - -2 Other -2 - Interest expenses Totl expenses Income before income tx expenses -9 - Income tx expense/benefit Net income/loss ttributble to common shreholders Other ssets/libilities Other invested ssets USD m Q 202 Derivtive instruments Equity ccounted compnies 4 65 Other investments Securities purchsed under greement to resell Totl Other ssets USD m Q 202 Securities in trnsit Reinsurnce relted ssets Other ssets Totl 685 Accrued expenses nd other libilities USD m Q 202 Securities sold under greement to repurchse Derivtive instruments 2 09 Securities sold short 394 Securities in trnsit Other finncil libilities Totl investment relted finncil libilities Insurnce relted finncil libilities Other libilities 3 59 Totl

14 Net investment income USD m P&C Re L&H Re Solutions Corporte Admin Re Group items Totl Q 202 Totl Q 20 Investment relted income Government bonds Corporte bonds Securitised products Short-term investments Equities Rel estte, PE, HF Investment expenses Other Insurnce relted income Policy lons Deposits with ceding compnies Other Non-prticipting investment income Income from with-profit business Income from unit-linked business Totl net investment income Reduction of Group fixed income running yield from 3.7% in Q 20 to 3.5% in Q 202, minly from turnover of government bonds t lower interest rtes cross ll segments Reduction in securitised products income primrily s result of net sles nd mturities including the former Legcy run-off positions in the Group Items segment; securitised products blnce reduced from USD 4.2bn in Q 20 to USD 7.3bn in Q 202 Income from ssets bcking with-profit nd unit-linked business re credited to policyholders' ccounts nd re excluded from investment income vilble to shreholders 26 Net relised gins/losses USD m P&C Re L&H Re Solutions Corporte Admin Re Group items Consolidtion Consolidtion Totl Q 202 Totl Q 20 Investment relted Government bonds Corporte bonds Securitised products Equities Rel Estte, PE, HF Foreign exchnge remesurement nd designted trding portfolios Other sset clsses Insurnce relted Non-prticipting relised gins nd losses Net gins from with-profit business Net gins from unit-linked business Totl net relised gins nd losses USD m Q 202 FX -24 M-t-m 6 Totl -08 USD m Q 202 Credit -53 Rtes 44 Equities nd lterntives -2 Tresury nd other -23 Other sset clsses -44 Lower interest rtes in the current period compred to Q 20 resulted in lrger gins relised from turnover of government bonds Relised losses from securitised products in Q 202 minly relte to run-off of former Legcy positions in Group items Relised gins from unit-linked ssets minly relte to m-t-m gins from UK equity positions bcking Admin Re policyholders ccounts; equity mrkets incresed during Q 202 while they were flt in Q 20 Credit, rtes nd equities nd lterntives in other sset clsses primrily relte to hedges The designted trding portfolios re foreign currency denominted trding fixed income securities which bck certin foreign currency denominted libilities 2 Income from ssets bcking with-profit nd unit-linked business re credited to policyholders' ccounts nd re excluded from inv. income vilble to shreholders 27

15 Net unrelised gins/losses Corporte Solutions Admin Re Totl Q 202 Totl FY 20 USD m P&C Re L&H Re Group items Government bonds Corporte bonds Securitised products Equities Other Totl on-blnce sheet Rel estte Other Totl off-blnce sheet Totl net unrelised gins/losses Decrese in unrelised gins from FY 20 primrily from impct of higher interest rtes on government bonds Increse in unrelised gins in corporte bonds during Q 202 s credit spred tightening more thn offset impct of higher interest rtes Increse in unrelised gins in securitised products minly from m-t-m gins in RMBS securities Increse in unrelised gins in equities primrily from higher equity mrkets during Q Return on investments bsis Investments included in the RoI clcultion USD bn Q 202 Where to find? Totl investment portfolio 79.7 Slide 3 Unit-linked investments With-profit business Slide 3 Slide 3 Totl (excl. unit-linked nd with-profit) 55. Slide 3 Csh nd csh equivlents Policy lons Other insurnce relted Securities in trnsit Add investment relted finncil libilities Minority interest in privte equity Other ssets bcking insurnce Totl 25.5 Slide 3 Slide 3 Slide 3 Slide 25 Slide 25 Slide 36 Vrious items (including ct bonds) 29

16 Return on investments (ROI) USD m P&C Re L&H Re Solutions Corporte Admin Re Group items Totl Q 202 Totl Q 20 Net investment income Net relised gins/losses (incl. fx) Other revenue Investment income Less minority interest income Less income from csh Bsis for ROI Averge investment ssets t vg. fx rtes Return on investments 3.5% 4.3% 3.2% 5.0% 5.3% n/ 4.0% 3.9% Averge ssets clcultion bsed on monthly verge 30 Overll investment portfolio 57% invested in csh, short-term investments or government bonds USD bn End Q 202 Blnce sheet vlues 79.7 Unit-linked investments -2.2 With-profit business -3.4 Assets for own ccount 55. (on blnce sheet only) Policy lons 2% Mortgges nd other lons % Securitised products 5% Corporte bonds 6% Other - investment relted 6% Equities 2% Other - insurnce relted % Csh nd csh equivlents 6% Short-term investments 0% Government bonds incl. Agency 4% Consolidtion USD bn P&C Re L&H Re Solutions Re items dtion Q 202 FY 20 Corporte Admin Group Consoli- Totl Totl Csh nd csh equivlents Short-term investments Government bonds Corporte bonds Securitised products Equities Mortgges nd other lons Policy lons Other investment relted Other insurnce relted Totl Includes ct bonds nd lons 3

17 Fixed income securities USD bn End FY 20 End Q 202 Blnce sheet vlues Unit-linked investments With-profit business Blnce sheet vlues (excl. unit-linked nd with-profit business) Government bonds Corporte bonds 2 Securitised products End FY 20 End Q 202 Decrese minly due to reduction in mrk-to-mrket unrelised gins of USD -.8bn s interest rtes rose End FY 20 End Q 202 Increse minly due to net purchses of USD 0.6bn nd mrkto-mrket gins of USD 0.2bn End FY 20 End Q 202 Decrese primrily due to net sles nd principl repyments of USD -0.7bn offset by mrk-tomrket gins of USD 0.2bn nd fx Includes Agency securitised products 2 Includes Pfndbriefe / covered bonds 3 Includes invested ssets nd off blnce sheet investment exposures, excludes ct bonds nd lons 32 Government bonds Miniml exposure to Europen peripherls USD m S&P rting 3 Mrch 202 End Q 202 % of Totl United Sttes AA % United Kingdom AAA % Cnd AAA % Austrli AAA % Switzerlnd AAA % RoW other AAA-B % Non-Eurozone mrket vlue % Germny AAA % Frnce AA % Netherlnds AAA % Eurozone other AAA-BB % Eurozone mrket vlue % Totl mrket vlue % EIB (Europen Investment Bnk) 28% Eurozone other: USD 2 009m Other 6% Austri 28% EEC/EU supersovereign 28% Other includes Europen peripherl exposure of USD 56m: Spin A USD 26m Portugl BB USD 30m Itly nil Irelnd nil Greece nil Government bonds trding t 02.6% pr US government bond exposure includes gency positions Swiss Re closely monitors country risk 33

18 Corporte bonds High qulity portfolio mintined USD m End Q 202 % of Totl Resources % Bsic industries 4 4.7% Cyclicl consumer goods 333.4% Cyclicl services % Energy, utilities & mining % Finncils % Generl industrils % Informtion technology % Non-cyclicl consumer goods % Non-cyclicl services % Totl % Mrket vlue USD m End Q Gross Net of hedging Sensitivity (CR0) USD m End Q Gross Net of hedging End Q 202 Pfndbriefe / 9% covered bonds Bnks 50% Specilty % Insurnce 3% Rel Estte, other 7% Totl 00% 4% % 8% 6% AAA AA A BBB 37% <BBB NR Key Points Corporte bonds continue to be ctively mnged, djusting hedges with portfolio chnges Hedge notionl decresed by USD 2.3bn to USD 0.8bn s the credit overly positions were lrgely reduced during the qurter Sensitivity - CR0 is the sensitivity of Swiss Re s investment portfolio per bsis point move in credit spreds. As t 3 Mrch 202 the net impct would be decrese of USD 6.7m for ech bsis point credit spreds widen Hedging is presented on notionl bsis; however, when viewed on n economic risk bsis, hedging my hve different impct on the portfolio 44% 2% 4% United Sttes 53% United Kingdom 2% Switzerlnd 5% Cnd Netherlnds 5% Austrli 5% Frnce 5% Sweden 9% Other 34 Securitised products 40% is AAA 2% 2% 24% End FY 20 End Q 202 Mrket vlue Mrket vlue in USD m in USD m A A A BBB BB nd below Est. % pr RMBS % CMBS % Other ABS % 53% Totl: USD 7.3bn (9% pr) Other Securitised % Totl % Net sles nd principl repyments of USD 0.7bn primrily in RMBS (USD 0.3bn), ABS (USD 0.2bn) nd CMBS (USD 0.2bn) nd is prtilly offset by net mrk-to-mrket gins The Group hs ABX, CMBX index nd CDS protection s proxy hedge for its securitised product portfolio As t 3 Mrch 202, the hedge notionl ws USD 0.4bn, consistent with 3 December 20 Sensitivity CR0 is the sensitivity of Swiss Re s investment portfolio per bsis point move in credit spreds. As t 3 Mrch 202 the net impct, excluding ny hedging impcts, would be decrese of USD 2.8m for ech bsis point credit spreds widen Sensitivity (CR0) USD m 2.5 End FY End Q 202 Includes invested ssets nd off blnce sheet investment exposures, excludes ct bonds nd lons. Percentge of pr is bsed on weighted verge bsis 35

19 Equities nd Alterntive Investments Mrk-to-mrket gins Equities USD m, mrket vlues End FY 20 End Q 202 Listed Equities Strtegic Holdings Totl mrket vlue Alterntive investments USD m, mrket vlues End FY 20 End Q 202 Hedge Funds Privte Equity Rel Estte Totl mrket vlue Listed Equities by sector 8% 3% 2% 2% 3% 8% 0% 20% 0% 3% Rel Estte by geogrphy % % Non-Cyclicl Consumer Goods Finncils Informtion Technology Non-Cyclicl Services 28% Resources Cyclicl Services Generl Industrils Bsic Industries Utilities 3% Cyclicl Consumer Goods Exchnge-trded funds Switzerlnd Indirect Rel Estte Germny Other - (US, Itly, Spin) 68% Increse in equities primrily relted to mrk-to-mrket gins in Q 202 Privte equity excludes minority interests of USD.3bn s t 3 Mrch 202 Increse in rel estte primrily due to fx, minly s the CHF pprecited 64% of hedge fund portfolio nd 66% of privte equity portfolio re equity ccounted; mrk-to-mrket recorded through net investment income 36 Investment mix nd mid-term pln Business Units nd Group 00% 90% 80% 70% 60% % 0-5% 4% 0-5% % 0-5% % 0-5% 2% 0-5% % 0-5% 0-5% 8% 7% 5% 5-5% 5-5% 5-0% 6% 0-30% 6% 8% 0-20% 20% 5% 7% 5-30% 44% 20-30% 3% 40-50% 0-0% 5-5% 6% 5-0% 5-0% 50% 40% 30% 20% 0% 0% 46% 25% End Q % 55% 0-25% 7% Mid-term pln End Q % 5-5% Mid-term pln 45% 27% End Q % 5-5% Mid-term pln 5% 45% 5-5% 30-50% 5% 5% End Q 202 Mid-term pln 48% 35-55% 7% 0-20% End Q 202 P&C Reinsurnce L&H Reinsurnce Corporte Solutions Admin Re Group Mid-term pln Csh, csh equivlents nd short-term investments Securitised products Equities nd lterntives Government bonds (incl. gency) Corporte bonds (incl. lons) Other (incl. derivtives) 37

20 Swiss Re s cpitl structure USD bn % % % 2.3%.9%.5% Senior long-term finncil debt Hybrid cpitl Mndtory convertibles CPCI (2009) nd contingent cpitl instruments (prt of shreholders' equity) Common shreholders' equity Senior finncil debt to totl cpitl Hybrid to totl cpitl % % 6.2% 7.8% % 8.2% % 9.3% Q % 50% 25% 0% Issunce of contingent cpitl instruments: CHF 320m nd USD 750m in Q 202, ccounted for s shreholders' equity, excluded from BVPS nd ROE clcultion 2009 nd prior hve been trnslted from CHF using respective yer end fx rtes 38 Number of shres in millions Q 202 Totl shres of which Tresury shres nd shres reserved for corporte purposes 27.0 Shres outstnding (s t 3 Mrch 202) Shres outstnding (weighted verge) Shres outstnding is the number of shres eligible for dividends nd is used for the EPS clcultion 39

21 Exchnge rtes Averge rtes Closing rtes EUR/USD GBP/USD CAD/USD CHF/USD Q Q Q Chnge Q 20/Q % -.88% -0.99% 2.86% Chnge Q4 20/Q % -.88% -0.99% -4.42% EUR/USD GBP/USD CAD/USD CHF/USD Q Q Q Chnge Q 20/Q % 0.00% -2.9%.83% Chnge Q4 20/Q % 3.23% 2.04% 3.74% CAD 4% AUD 4% CNY 5% GBP 7% Gross premiums written Q 202 split by min currencies Other 3% EUR 3% USD 35% 40 Corporte clendr & contcts Corporte clendr 09 August 202 Second Qurter 202 results Conference cll 0 September 202 Investors nd Medi meeting Monte Crlo 08 November 202 Third Qurter 202 results Conference cll 2 Februry 203 Annul Results Zurich Investor Reltions contcts Hotline E-mil Investor_Reltions@swissre.com Eric Schuh Ross Wlker Chris Menth Simone Lieberherr Simone Fessler

22 Cutionry note on forwrd-looking sttements Certin sttements nd illustrtions contined herein re forwrd-looking. These sttements 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. 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 finncil strength or other rtings of 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; legl ctions or regultory investigtions or ctions, including those in respect of industry requirements or business conduct rules of generl pplicbility; chnges in economic theory or principles; significnt investments, cquisitions or dispositions, nd ny delys, unexpected costs or other issues experienced in connection with ny such trnsctions; chnging levels of competition; opertionl fctors, including the efficcy of risk mngement nd other internl procedures in mnging the foregoing risks; nd chllenges in implementtion, dverse responses from counterprties, regultors or rting gencies, or other issues rising from, or otherwise relting to, the chnges in Swiss Re's corporte structure. 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. 42