Second Quarter 2011 results. Analyst and investor conference call Zurich, 04 August 2011

Transcription

1 Anlyst nd investor conference cll Zurich, 04 August 20

2 Tody s gend Introduction Business performnce July renewls, summry nd outlook Questions & nswers Eric Schuh, Hed IR George Quinn, CFO Stefn Lippe, CEO 2

3 Business performnce George Quinn, CFO 3 Q2 20 Finncil Highlights Strong performnce, confirming trgets Net income USD.0bn Return on equity 5.6% Excellent P&C combined rtio 78.4% Combined rtio djusted for benign nt cts nd positive reserve development 92.% Solid, improved L&H result USD 6m Benefit rtio 87.0% Very good Asset Mngement performnce Return on investments 4.3% Book vlue per shre USD (CHF 60.94) USD 7.26 (CHF 65.9) t end Q 20 Finncil results re for Swiss Re Ltd (the new prent compny of the Swiss Re Group) nd its subsidiries (including Swiss Reinsurnce Compny Ltd (SRZ)). Finncil results were prepred s if Swiss Re Ltd held 00% of SRZ for the periods presented 4

4 Key figures USD, unless otherwise stted Q2 200 Group net income/loss 0.8bn.0bn P&C combined rtio 02.0% 78.4% L&H benefit rtio 88.3% 87.0% Return on investments 5.8% 4.3% Return on equity 3.4% 5.6% Ernings per shre (USD) (CHF) Q2 20 Q 20 Q2 20 Shreholders equity bn 24.8bn Book vlue per shre 3 (USD) (CHF) Group net income/loss ttributble to shreholders 2 Shreholders equity excluding non-controlling interests 3 Bsic BVPS, excluding non-controlling interests, in 200 excluding CPCI 5 Property & Csulty Strong renewls nd better clims experience Premiums erned Operting income +2.6% +8.2% Combined rtio, trd. % -23.6pts Q2 200 Q2 20 Premiums erned incresed 2.6%, reflecting successful Jnury nd April renewls, notbly in Asi At constnt fx rtes, premiums erned incresed 7.% Q2 200 Q2 20 Strong underlying business performnce, fvourble net development of prior ccident yers, minly from Europe, nd benign nt ct losses Allocted net investment income decresed by USD 80m, minly due to lower interest rtes 02.0% (00.2% excl. unwind) 78.4% (77.0% excl. unwind) Q2 200 Q2 20 Net impct from nturl ctstrophes ws 5.% pts, which is.5% pts below expected Fvourble net reserve development of 2.2% pts Adjusting for norml nt ct nd reserve development CR is 92.% 6

5 Property & Csulty Benign lrge loss experience, positive prior yers development P&C trditionl combined rtios %, premiums nd operting income in Q2 200 Q2 20 Min drivers of chnge Premiums Operting income/loss Property 94.% 76.3% Better thn expected nt ct experience nd some positive prior yer development Csulty Libility 24.8% 38.3% 86.5% 4.9% Motor Accident (A&H) Specilty Credit Other Specilty.6% 05.6% 84.6% 54.2% 94.0% 97.3% 263.4% 70.3% 38.5% 8.4% Q2 20 benefited from fvourble prior yer net clims, Q2 200 included losses from Deepwter Horizon Positive prior yer development Lrgely due to reserve strengthening for US workers comp business Both qurters benefited from better thn expected clims experience Lower lrge losses in Q2 20 nd positive contribution from prior yers Totl trditionl 02.0% 78.4% excl. unwind 00.2% 77.0% Totl non-trd Totl Life & Helth Solid performnce Operting revenues Operting income Benefit rtio % +5.% +3.4% -.3pts % 87.0% Q2 200 Q2 20 Incresed premiums nd fee income driven by trditionl life nd helth business in Asi nd US At constnt fx rtes, operting revenues flt compred to prior yer 42 Q2 200 Q2 20 Mortlity experience slightly better thn expecttions, but less fvourble thn prior yer Fvourble morbidity experience s compred to expecttions nd prior yer VA nd pre-2000 GMDB gin of USD 5m (Q2 200 gin of USD 74m) Additionl expenses of USD 57m from Admin Re, including costs from restructuring Q2 200 Q2 20 Improvement of 2% due to fvourble morbidity experience Approximtely % increse ttributed to less fvourble mortlity experience thn prior period Benefit rtio excludes the impct of VA & pre-2000 GMDB from ll periods presented 8

6 Asset Mngement Very good performnce in voltile mrkets Operting income Return on Investments Totl return 2 % % +8.0% -.5pts -5.pts % 3.2% 4.3% 8.% Q2 200 Q2 20 AM fixed income running yield of 4.0% for Q2 20, unchnged from Q 20 Increse in current investment income Impirments of USD 24m; Q2 200: USD 75m Durtion mtched Q2 200 Q2 20 RoI of 4.0% for rtes, 4.6% for credit nd 7.5% for equities nd lterntive investments RoI excluding fx is 4.5% in Q2 20 nd 4.0% in Q2 200 Relised gins of USD 224m, minly from sle of government bonds; Q2 200: USD 325m Q2 200 Q2 20 Totl return of 8.% for rtes, 7.% for credit nd 2.7% for equities nd lterntive investments Totl returns for both periods benefited from declining interest rtes Minority interests included in operting income but excluded from the RoI nd Totl Return 2 Totl return includes chnge in unrelised gins/losses 9 Shreholders' equity Q2 20 Net income offsets dividend pyment Gov bonds 0.6 Corp bonds 0.2 Sec products 0.0 Equities nd others -0. Tx -0.2 Totl Shreholders' Net income equity ttributble to 3 Mrch 20 common shreholders Dividends Other Foreign currency trnsltion djustments Net chnge in unrelised gins/losses Shreholders' equity 30 June 20 Non controlling interests Totl equity 30 June 20 0

7 New group structure June 200 Cler strtegic priorities October 200 Aligned mngement structure Further strengthen mrketing power Optimise opertions Better lign with client needs Prennounce ment period April My June July Cooling off period Exchnge offer period Exchnge offer phse Additionl cceptnce period Request to competent court to invlidte remining SRZ shres held by public nd delist SRZ shres Q4 Expected court pprovl for invlidtion of remining SRZ shres held by public; delisting of SRZ 202 Segmentl reporting under new structure Reinsurnce (P&C, L&H) Corporte Solutions Admin Re First dy of trding of Swiss Re Ltd shres More thn 98% of SRZ shres re held by SRL SIX pproves delisting of SRZ shres subject to squeeze-out court order Successful exchnge offer Excellent progress in trnsition to new group structure

8 July renewls, summry nd outlook Stefn Lippe, CEO 2 July 20 renewls mrket trends Improved mrket conditions, firming price environment Grdul firming since Jnury Incresed demnd for pek nt ct exposures in July t improved terms, especilly in ANZ nd US Non-ct business improved since Jnury; now lrgely flt on verge Strong competition in insurnce mrkets requires continued disciplined underwriting Mrket hs strted to turn, further improvements expected over the next 6-8 months 3

9 Strong July 20 trety renewls for Swiss Re 8% growth t improved price levels July top line growth 8% t constnt fx rtes Incresed nt ct business in higher-priced, post event period Completed lrge P&C run-off trnsctions t ttrctive price levels Remined defensive for Csulty business where prices do not meet our requirements Improved risk-djusted price dequcy by 5% points for July renewls 4 20 renewls Rising prices, higher volumes Totl trety portfolio, premiums s costed July 20 renewls USD 2.04bn 00% USD 2.20bn 08% YTD 20 renewls (Jnury July) Totl trety portfolio Renewble 0 July 20 Estimted outcome USD 2.23bn April 20 renewls USD.07bn USD.80bn 68% USD 0.23bn 20% 00% Renewble 0 April 20 Estimted outcome 00% Jnury 20 renewls USD 7.2bn USD 8.23bn 00% 6% Renewble YTD 20 Estimted outcome Renewble 0 Jnury 20 Estimted outcome Strong growth in Jnury/April driven by solvency relief trnsctions, minly in Asi Yer-to-dte, Swiss Re's trety portfolio grew by 20% nd rte dequcy ws mintined New solvency driven trnsctions in Asi were concluded fter the first qurter, nd hve been formlly ccounted for in April 20 renewls Figures hve been restted with current fx rtes 5

10 Finncil trgets Committed to chieving our finncil trgets Trget FY 200 Q 20 Q2 20 ROE 700 bps bove risk free verge over 5 yers 2 9.2% -0.7% 5.6% EPS growth 0% verge nnul growth rte over 5 yers (in USD) ENW per shre growth plus dividend 0% verge nnul 89.7 n.. n.. growth rte over 5 yers (in USD) 3 ROE nd EPS shown excluding CPCI 2 Risk free rte: US Gov 5 yers: FY 200: 2.0%, Q 20: 2.28%, Q2 20:.76% 3 Bsis: FY Summry nd outlook A step in the right direction, more to follow Strong finncil results cross ll segments Strong July renewls, leding to ernings growth Very good investment performnce, conservtive sset portfolio Miniml exposure to peripherl EU sovereigns (USD 78m, Greece nil) Delivered first dels from our pipeline, both Admin Re nd P&C run-off Idelly positioned for cyclicl upturn due to excellent cpitlistion Regultory chnge, low yields, ct model chnges, etc. continue to crete opportunities We re fully focused on chieving our finncil trgets 7

11 Questions & nswers 8

12 Appendix 04 August 20 Appendix Business segment results Q2 20 Nt ct nd lrge clims Mnging ernings voltility Blnce sheet protected ginst mjor perils Ctstrophe perils hedging Exposure nd protection of Swiss Re Life & Helth Operting income brek-down Group Items Other ssets/libilities Unit-linked nd with-profit ssets Net investment income Net relised gins/losses Net unrelised gins Return on investments bsis Return on investments clcultion Overll sset mix Fixed income securities Government bonds Corporte bonds Securitised products Equities nd Alterntive Investments Swiss Re's investment portfolio Mid-term pln Totl equity H 20 Swiss Re's cpitl structure Return on equity clcultion Number of shres Exchnge rtes Corporte clendr & contcts Cutionry note on forwrd-looking sttements 20

13 Business segment results Q2 20 Property & Csulty Life & Helth Asset Mgt Group Items Alloction Totl Q2 20 Totl H 20 Revenues Premiums erned Fee income from policyholders Net investment income/loss Net relised investment gins/losses Other revenues Totl revenues Expenses Clims nd clim djustment expenses nd L&H benefits Return credited to policyholders Acquisition costs Other expenses Interest expenses Totl expenses Operting income/loss before tx Income tx expenses Income ttributble to non-controlling interests Net income/loss ttributble to shreholders Nt ct nd lrge clims Nt ct premiums nd clims FY 20 est. Expected net premiums Expected net clims 80 Nt ct nd mn-mde lrge clims 20 Dte 20 Est. net clims Floods Austrli Jnury 75 Cyclone Ysi Februry 85 Erthquke New Zelnd Februry 885 Erthquke Jpn Mrch 220 Torndo US April 50 Torndo US My 55 Onshore energy fire loss Jnury 60 Offshore energy fire loss Februry 20 Stellite clim April 40 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 22

14 Mnging ernings voltility Nt ct portfolio s key driver of insurnce risk USD bn Est. Swiss Re gross clims Est. hedge effect Est. Swiss Re net clims Estimted nnul ggregte nt ct clims (80% VR exceeded once in 5 yers on verge) Clims voltility from nturl ctstrophes is mesured by the 80% Vlue t Risk (VR) 2 for the net ggregte nturl ctstrophe portfolio Applying the VR mesure to the nnul ggregte clims distribution lso reflects the potentil impct from n ccumultion of smll or medium-sized events from more thn 50 scenrios On net bsis, USD.9bn of nturl ctstrophe clims re estimted to be exceeded on verge in one yer out of five; this is USD 0.3bn below expected nnul net nt ct premiums of USD 2.2bn Net of estimted hedging impcts (ct bonds, industry loss wrrnties, retrocessions), djusted for bsis risk 2 80% VR mesures the clims likely to be exceeded in one yer out of five As t 30 June Blnce sheet protected ginst mjor perils Pek exposures well mnged Estimted single event losses USD bn 200 yer return period Estimted Swiss Re loss: gross / net 0 Erthquke CALIFORNIA Hurricne NORTH ATLANTIC Windstorm EUROPE Erthquke JAPAN 2 50 yer return period Erthquke Erthquke CALIFORNIA JAPAN 2 Estimted mrket loss yer return period Hurricne NORTH ATLANTIC Windstorm EUROPE Estimted mrket loss 65 6 Net of estimted hedging impcts (ct bonds, industry loss wrrnties, retrocessions), djusted for bsis risk 2 Estimted single event losses nd estimted mrket loss for Erthquke JAPAN ccount for incresed ftershock seismicity post-tohoku event Without incresed ftershock seismicity the 50 yer estimted mrket loss is USD 8bn As t 30 June 20 24

15 Ctstrophe perils hedging Exmple of US Hurricne in 200 yer event Hedging instruments for US hurricne USD bn 3.0 Retro (incl. Sidecr) Swps ILS ILW nd Derivtives Jul 0 Jul 02 Jul 03 Jul 04 Jul 05 Jul 06 Jul 07 Jul 08 Jul 09 Jul 0 Jul US hurricne first loss event covered by protection for the hurricne seson 20 Dt ssumes no bsis risk between inwrds indemnity covers nd outwrds hedging, which is prtilly bsed on prmetric or mrket loss 25 Exposure nd protection of Swiss Re Exmple bsed on US Hurricne 0.5% Hedging Estimted loss for Swiss Re USD 200bn Substntil protection exists throughout the risk spectrum A lrge vriety of hedging techniques (ILS, derivtives, risk swps, sidecrs, retro) re pplied Loss probbility Industry Loss Low ttching protection reduces ernings voltility not only for n extremely rre event, but lso for more frequent events 35% USD 0bn 0% 50% 00% Expected pttern s t 30 June 20 for the first event only; no considertion of bsis risk between inwrds indemnity covers nd outwrds hedging, which is prtilly bsed on prmetric or mrket loss triggers 26

16 Life & Helth Operting income brek-down Q 09 Q2 09 Q3 09 Q4 09 Q 0 Q2 0 Q3 0 Q4 0 Q Q2 Other: disbility contrct rescission VA, Pre-2000 GMDB & B36 Relised investment gins/losses: nonprticipting relised gins, unrelised mrk-to-mrket returns Technicl result: premiums, benefits, cquisition costs, net interest credited to policyholders Investment result: nonprticipting net investment income, other revenues Fees: fee income from policyholders Expenses: other expenses Relised inv. gins/losses Investment result Fees Expenses Technicl result VA, Pre-2000 GMDB & B36 Other Operting income Aggregtion by ctegories my be refined in the future Relised investment gins/losses, investment result, fees, expenses nd technicl result re shown net of VA nd pre-2000 GMDB business Presenttion tkes into ccount netting of unit-linked nd with-profit business where pproprite 27 Life & Helth Operting income brek-down Q2 20 vs Q2 200 (yer-on-yer) Operting income Q Operting income Q VA, Pre GMDB & B36 9 VA, Pre GMDB & B36 Relised inv. gins / losses -7 Relised inv. gins / losses 65 Technicl result Q2 20 vs Q 20 (qurter-on-qurter) 86 Technicl result -8 Investment result 6 Investment result Expenses Fee income Operting income Q Expenses Fee income Operting income Q2 20 VA, Pre-2000 GMDB & B36 Relised investment gins/losses: nonprticipting relised gins, unrelised mrk-to-mrket returns Technicl result: premiums, benefits, cquisition costs, net interest credited to policyholders Investment result: nonprticipting net investment income, other revenues Fees: fee income from policyholders Expenses: other expenses Q2 200 VA nd Pre-2000 GMDB results were primrily driven by Swiss Re's credit spreds Technicl result improvement minly due to improved morbidity experience Vrince in expenses minly driven by Admin Re Aggregtion by ctegories my be refined in the future Relised investment gins/losses, investment result, fees, expenses nd technicl result re shown net of VA nd pre-2000 GMDB business Presenttion tkes into ccount netting of unit-linked nd with-profit business where pproprite 28

17 Life & Helth Operting income brek-down Q 200 Q2 200 Q3 200 Q4 200 Q 20 Q2 20 Operting income of which pproximtely: VA, pre-2000 GMDB, impct from B Recpture, commuttion & rescission Mortlity nd morbidity compred to expecttions Chnges in models nd ssumptions Chnge in llocted investment income PVFP mortistion/reserves compred to expected Mortlity experience ws better thn expecttions Morbidity experience better thn expecttions, primrily in Europe Amortistion of PVFP driven by declining interest rte environment Benefit rtio 3 89.% 88.3% 93.3% 84.3% 89.4% 87.0% Chnge in llocted investment income compred to immeditely preceding qurter 2 Bsed on chnging yields, equity mrkets nd relised gins/losses 3 Benefit rtio excludes the impct of VA & pre-2000 GMDB from ll periods presented Bsed on Swiss Re estimtes, ggregtion by ctegories my be refined in the future 29 Group Items Q2 200 Q2 20 Chnge Revenues Premiums erned -6 7 Net investment income % Net relised investment gins/losses Other revenues 5 5 0% Group items income % Expenses Clims nd clim djustment expenses nd L&H benefits 6 500% Acquisition costs 3-2 Group function expenses % Interest expenses % Indirect nd other txes % Other % Interest nd other expenses % Operting income/loss As of Jnury 20 former Legcy ctivities re being reported within Group items. 200 comprtives re presented ccordingly 30

18 Other ssets/libilities Other invested ssets Q2 20 Derivtive instruments Equity ccounted compnies Other investments Securities purchsed under greement to resell Totl Other ssets Q2 20 Securities in trnsit 648 Reinsurnce relted ssets Other ssets Totl Accrued expenses nd other libilities Q2 20 Securities sold under greement to repurchse Derivtive instruments 4 77 Securities sold short Securities in trnsit Other finncil libilities Totl finncil libilities 9 94 Other libilities Totl Unit-linked nd with-profit ssets Q2 20 Unit-linked investments Equities Government bonds 69 Corporte bonds 289 Rel estte 848 Csh nd csh equivlents 598 Short-term investments 629 Totl unit-linked investments Q2 20 With-profit business Equities Government bonds 44 Corporte bonds 287 Rel estte 549 Csh nd csh equivlents 70 Short-term investments - Totl with-profit business 3 43 Unit-linked nd with-profit investments re included in ssets designted s trding 32

19 Net investment income Q2 200 Q2 20 Chnge H 20 Fixed income % 2 20 Equities % 45 Other sset clsses % 650 Investment expenses % -255 Interest pid on cedent deposits % -69 Assets held for with-profit business % 82 Assets held for linked libilities % 346 Net investment income % 2 99 Q2 200 Q2 20 Cedent deposits Csh nd csh equivlents 7 22 RE direct PE Hedge Funds -7 - Other 5 - Other sset clsses Fixed income higher on government nd corporte bonds, mostly offset by reduction of securitised products in 200 Positive impcts from mrk-to-mrket gins in privte equity in Q2 200 nd Q2 20 Higher income from equities s new mndtes creted 33 Net relised gins/losses Q2 200 Q2 20 Fixed income Equities Other sset clsses Assets held for with-profit business Assets held for unit-linked libilities Foreign exchnge remesurement nd designted trding portfolios Totl net relised investment gins Q2 20 Credit -8 Rtes -88 Equities nd lterntives 29 Insurnce derivtives (incl. VA) 03 Tresury nd other -72 Other sset clsses -46 Relised gins on fixed income sles during Q2 20 minly from the sle of government bonds Positive impct from equities nd lterntive investments Gin in unit-linked ssets versus loss in Q2 200 primrily due to equity Q2 200 Q2 20 FX M-T-M Totl The designted trding portfolios re foreign currency denominted trding fixed income securities which bck certin foreign currency denominted libilities 34

20 Net unrelised gins, pre-tx End Q 20 End Q2 20 Totl Other Rel estte Fixed income Equities On blnce sheet Off blnce sheet On blnce sheet Off blnce sheet Fixed income unrelised gins/losses comprise End Q 20 End Q2 20 Government bonds USD -0.3bn USD +0.3bn Corporte bonds USD +.0bn USD +.2bn Securitised products USD 0.0bn USD 0.0bn 35 Asset Mngement Return on investments bsis Investments included in the RoI clcultion USD bn Q 20 Q2 20 Where to find? Totl investments Blnce sheet Csh nd csh equivlents Blnce sheet Totl investment portfolio Slide 38 Unit-linked investments With-profit business Slide 38 Slide 38 Totl (excl. unit-linked nd with-profit) Slide 38 Securities in trnsit Finncil libilities Policy lons Other Totl Slide 3 Slide 3 Blnce sheet (policy lons, mortgges nd other lons) Vrious items (minly ssets llocted to Group items) 36

21 Asset Mngement Return on investments clcultion Q2 200 t vg. FX Q2 20 t vg. FX 2 Chnge H 20 t vg. FX Credit nd rtes % Equities & lterntive investments % 387 Foreign exchnge remesurement nd designted trding portfolios Bsis for RoI % Averge invested ssets t vg. FX rtes % Return on investments 5.8% 4.3% -.5pts 4.2% Excludes minority interests 2 Averge ssets clcultion bsed on monthly verge 37 Overll sset mix 59% invested in csh, short-term investments, tresuries or government bcked USD bn End Q 20 End Q2 20 Blnce sheet vlues Unit-linked investments With-profit business Assets for own ccount (on blnce sheet only) Mortgges % Other securitised products 7% Agency securitised products 3% Lons (incl. policy lons) 3% Equities 2% Other investments % Corporte bonds 5% Csh nd csh equivlents % Government bonds 36% Short-term investments % Lons (incl. policy lons) 3% Mortgges % Other securitised products 7% Agency securitised products 3% Other investments 3% Corporte bonds 4% Equities 3% Csh nd csh equivlents 0% Short-term investments 9% Government bonds 37% 38

22 Fixed income securities USD bn End Q 20 End Q2 20 Blnce sheet vlues Unit-linked investments With-profit business Blnce sheet vlues (excl. unit-linked nd with-profit business) Government bonds Corporte bonds Securitised products End Q 20 End Q2 20 Increse primrily due to net purchses of USD 2.2bn, mrkto-mrket gins of USD 0.6bn nd fx End Q 20 End Q2 20 Corporte bond exposure consistent with prior qurter End Q 20 End Q2 20 Increse primrily due to net purchses of minly gency securities nd Pfndbriefe Includes invested ssets nd off blnce sheet investment exposures, excludes ct bonds nd lons 39 Government bonds Miniml exposure to Europen peripherls End Q2 20 % of Totl United Sttes % United Kingdom % Cnd % Austrli 63.% Switzerlnd 547.0% RoW other % Non-Eurozone mrket vlue % Germny % Frnce % Netherlnds % Eurozone other % Eurozone mrket vlue % Totl mrket vlue % Eurozone other: USD 837m Other Finlnd 5% 9% EIB (Europen Investment Bnk) 2% EEC/EU supersovereign 30% Austri 35% Other includes Europen peripherl exposure of USD 78m: Spin USD 35m Portugl USD 33m Irelnd USD 6m Itly USD 4m Greece nil Swiss Re closely monitors country risk Exposure to non-aaa Europen government bonds lredy lrgely reduced over pst two yers Greece exposure reduced to zero in Q2 200, Irelnd nd Itly reduced to lmost zero in Q

23 Corporte bonds High qulity portfolio mintined End Q2 20 % of Totl Resources % Bsic industries % Cyclicl consumer goods 274.3% Cyclicl services % Energy, utilities & mining % Finncils % Generl industrils % Informtion technology 28.3% Non-cyclicl consumer % goods Non-cyclicl services % Totl % Mrket vlue End Q Gross Net of hedging Sensitivity (CR0) End Q Gross 3.7 Net of hedging End Q2 20 Bnks 59% Specilty 2% Insurnce 5% Rel Estte, 5% other Totl 00% 5% % Key Points Corporte bonds continue to be ctively mnged, djusting hedges with portfolio chnges Hedge notionl incresed by USD 0.bn to USD 2.3bn, hedges re primrily in the finncils sector Sensitivity - CR0 is the sensitivity of Swiss Re s investment portfolio per bsis point move in credit spreds. As t 30 June 20 the net impct would be decrese of USD 3.7m 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% 5% 6% 39% AAA AA A BBB <BBB NR 3% 2% 6% 4% 4% 4% 0% 23% 44% United Sttes United Kingdom Netherlnds Austrli Switzerlnd Cnd Germny Frnce Other 4 Securitised products 33% is Agency nd further 32% is AAA 9% 9% 33% End Q 20 Mrket vlue in End Q2 20 Mrket vlue in Agency & A A-A Below A Est. % pr Agency Securitised Products % RMBS % 29% CMBS % 20% Other ABS Totl: USD 5.5bn (95% pr) % Non-Agency Totl: USD 0.3bn Other Securitised % (9% pr) Totl % Sensitivity CR0 is the sensitivity of Swiss Re s investment portfolio per bsis point move in credit spreds. As t 30 June 20 the net impct, excluding ny hedging impcts, would be decrese of USD 5.6m for ech bsis point credit spreds widen Sensitivity (CR0) Net purchses in gency securitised nd Pfndbriefe offset by sles in RMBS nd CMBS The Group hs purchsed ABX, CMBX index nd CDS protection s proxy hedge for its securitised product portfolio As t 30 June 20, the hedge notionl ws USD 0.8bn End Q 20 End Q2 20 Includes invested ssets nd off blnce sheet investment exposures, excludes ct bonds nd lons. Percentge of pr is bsed on weighted verge bsis 42

24 Equities nd Alterntive Investments New equity mndtes continue to be estblished Equities End Q20 Mrket vlues End Q2 20 Mrket vlues Listed Equities Strtegic Holdings Totl mrket vlue Alterntive investments End Q 20 Mrket vlues End Q2 20 Mrket vlues Hedge Funds Privte Equity Rel Estte Totl mrket vlue Listed Equities by sector 6% 6% 7% 7% 2%% 4%3% 5% 9% 5% Rel Estte by geogrphy 2% % Exchnge-trded funds Non-Cyclicl Consumer Goods Finncils Resources Generl Industrils Non-Cyclicl Services 42% Cyclicl Services Informtion Technology Bsic Industries Utilities Cyclicl Consumer Goods Switzerlnd Indirect Rel Estte Germny Other - (US, Itly, Spin) 70% Increse in listed equities from purchses in new nd existing mndtes Exchnge-trded funds primrily comprised of equity index funds Privte equity excludes minority interests of USD.3bn s t 30 June 20 76% of hedge fund portfolio nd 66% of privte equity portfolio re equity ccounted; mrk-to-mrket goes through net investment income 43 Swiss Re s investment portfolio Mid-term pln 00% 80% 60% 40% 20% 0% 0% 0% 2% 5% 6% 8% 2% 3% 4% 2% % 0% 36% 35% 25% 25% 37% 9% 0-5% 0-0% 0-20% 5-0% 35-50% 20-30% Q2 20 Mid-term pln (excl. Group items) Other Equities nd lterntives Corporte bonds Securitised products (incl. Agency) Government bonds Csh, csh equivlents nd short-term investments Continued build-up of the credit nd equity portfolios in 20 Other includes Asset Mngement items (mortgges, rel estte, derivtives) nd Group items (policy lons, repurchse greements, securities lending, other receivbles nd former Legcy) 44

25 Totl equity H Gov bonds -0. Corp bonds 0. Sec products 0. Equities nd others 0.0 Tx 0.0 Totl Shreholders' equity 3 Dec 200 Net income ttributble to common shreholders Dividends Other Foreign currency trnsltion djustments Net chnge in unrelised gins/losses Shreholders' equity 30 June 20 Non controlling interests Totl equity 30 June Swiss Re s cpitl structure USD bn Senior long-term finncil debt Hybrid cpitl Mndtory convertibles Shreholders' equity (CPCI) Shreholders' equity (common) Senior finncil debt to totl cpitl Hybrid to totl cpitl % 3.8% % % 2.4% 2.3%.9%.5% % % 6.2% 7.0% 5.2% 7.8% 8.% 8.% Q 20 Q % 50% 25% 0% Reduction in hybrid cpitl minly due to redemption of CHF 600m SUPERBs in June nd prior hve been trnslted from CHF using yer end fx rtes 46

26 Return on equity clcultion Q 20 Q2 20 H 20 Net income/loss Opening shreholders' equity Closing shreholders' equity Averge shreholders' equity Return on equity, nnulised -0.7% 5.6% 2.4% Bsed on published net income ttributble to ordinry shreholders 47 Number of shres (SREN) in millions Q2 20 Dividend shres Tresury shres 4.7 Shres reserved for corporte purposes.7 Totl mount of shres outstnding million shres (more thn 98%) in Swiss Reinsurnce Compny Ltd ("SRZ") re held by or hve been tendered to Swiss Re Ltd ("SRL") in the public exchnge offer resulting in lower mount of SRL (SREN) shres outstnding compred to Q 20 for SRZ Swiss Re hs filed for invlidtion nd delisting of remining SRZ (RUKN) shres. Upon pprovl by the court the remining SRZ shres re expected to be immeditely delisted from the SIX Swiss Exchnge Shreholders of invlidted shres will receive one new SRL shre for ech SRZ shre, subject to pplicble securities lw restrictions. This will increse the totl mount of SRL shres outstnding 48

27 Exchnge rtes Averge rtes Closing rtes EUR/USD GBP/USD CAD/USD CHF/USD Q Q Q Chnge Q2 200/Q % 5.9% 5.2% 9.6% Chnge Q 20/Q %.3%.0% 4.8% EUR/USD GBP/USD CAD/USD CHF/USD Q Q Q Chnge Q2 200/Q % 7.3% 0.6% 28.0% Chnge Q 20/Q % 0.6%.0% 9.2% Gross Premiums written Q2 20 split by min currencies Other 23% AUD 5% GBP 3% EUR 22% USD 37% 49 Corporte clendr & contcts Corporte clendr 2 September 20 Investors nd Medi meeting Monte Crlo 03 November 20 Third Qurter 20 results Conference cll 23 Februry 202 Annul Results Zurich 3 April th Annul Generl Meeting Zurich 7 April 202 Investors' Dy London Investor Reltions contcts Hotline E-mil Investor_Reltions@swissre.com Eric Schuh Ross Wlker Chris Menth Simone Lieberherr Simone Fessler

28 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, performnce, chievements or prospects to be mterilly different from ny future results, performnce, chievements or prospects expressed or implied by such sttements. Such fctors include, mong others: further instbility ffecting the globl finncil system nd developments relted thereto; chnges 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 under derivtive contrcts due to ctul or perceived deteriortion of Swiss Re s finncil strength; 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 its 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 hedging rrngements my not be effective; the lowering or loss of finncil strength or other rtings of one or more of the compnies in the Swiss Re group or developments dversely ffecting the 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 nd morbidity 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 regultory or legl ctions; chnges in ccounting stndrds; significnt investments, cquisitions or dispositions, nd ny delys, unexpected costs or other issues experienced in connection with ny such trnsctions, including, in the cse of cquisitions, issues rising in connection with integrting cquired opertions; 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 of 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. 5