First Quarter 2010 results. Appendix 06 May 2010

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1 First Qurter 2010 results Appendix 06 My 2010

2 Appendix Business segment results Q Property & Csulty by line of business Non life YTD renewls Life & Helth Operting income brekdown Group items Other ssets/libilities Unit-linked nd with-profit ssets Net investment income Net relised gins/losses Impirments Net unrelised gins Return on investments bsis Return on investments clcultion Overll investment portfolio Fixed income securities Corporte bonds overview Corporte bonds Asset Mngement Corporte bond hedging Securitised products Securitised products Asset Mngement Securitised products Legcy Equities nd Alterntive Investments De-risking: Actions tken in Q Swiss Re s cpitl structure Return on equity clcultion Number of shres Exchnge rtes Corporte clendr & contcts Cutionry note on forwrd-looking sttements 2 Business segment results Q Property & Csulty Life & Helth Asset Mgt Legcy Group Items Alloction Totl Q 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 before tx Income tx expense -67 Income ttributble to noncontrolling interests -47 Interest on convertible perpetul cpitl instrument -68 Net income ttributble to common shreholders 158 3

3 Property & Csulty Nturl ctstrophes impct result P&C trditionl combined rtios %, premiums nd operting income in Q Q Min drivers of chnge Premiums Operting income Property 77.2% 122.4% High nturl ctstrophe experience Csulty Libility 100.7% 97.9% 113.3% 122. Unfvourble net premium updtes of prior yers nd current clims experience Motor Accident (A&H) Specilty Credit Other Specilty Totl trditionl excl. unwind 105.9% 102.4% 94.8% 88.6% 97.7% 90.2% 88.6% 98.2% 126.2% 84.4% 74.4% 88.5% 109.4% 107.8% Modest improvement from good current net clims experience nd clims hndling costs Low volumes Improvement due to the impct of retrocession Fvourble net premium updtes nd lower clims hndling costs Totl non-trd Totl YTD 2010 renewls Lower volumes, cycle mngement improves price dequcy Totl trety portfolio 100% 80% 60% 40% USD 9.5bn 100% 0% -3-10% 69% 25% 3% USD 8.3bn 87% 20% 0% Totl renewble YTD 2010 Cncelled or replced Renewed Decrese on renewl New business/ replcement Pending Estimted outcome Overll mrket continues to soften with price decrese of round 2% Cycle mngement ctions, portfolio shifts help to improve price dequcy on Swiss Re s portfolio by 2% points Volume reduction driven by repositioning of credit reinsurnce portfolio nd nonrenewl of Chinese quot shres nd Europen motor business in Jnury 5

4 Life & Helth Operting income brek-down Q1 08 Q2 08 Q3 08 Q4 08 Q1 09 Q2 09 Q3 09 Q4 09 Q1 10 Investment result: non-prticipting net investment income, other revenues Expenses: other expenses Fees: fee income from policyholders Technicl result: premiums, benefits, cquisition costs, net interest credited to policyholders, net hedging directly relted to product result Relised investment gins/losses: non-prticipting relised gins, unrelised mrk-to-mrket returns Relised inv. gins/losses Investment result Fees Expenses Technicl result VA & Pre-2000 GMDB 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 6 Life & Helth Operting income brek-down Q vs. Q (yer-on-yer) Op. income Q Investment result Expenses Fees Technicl result Q vs. Q (qurter-on-qurter) Op. income Q Investment result Expenses Fees Technicl result Relised inv. gins/ losses VA & Pre GMDB 245 Operting income Q Technicl result in Q ws driven by fvourble mortlity nd chnges in cednt reporting ptterns, prtilly offset by unfvourble morbidity Fee income incresed on improved equity mrket performnce, offset by lower yields -75 Relised inv. gins/ losses 127 VA & Pre GMDB 245 Operting income Q Investment result: non-prticipting net investment income, other revenues Expenses: other expenses Fees: fee income from policyholders Technicl result: premiums, benefits, cquisition costs, net interest credited to policyholders, net hedging directly relted to product result Relised investment gins/losses: non-prticipting relised gins, unrelised mrk-to-mrket returns 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 7

5 Group items Q Q Chnge Revenues Net investment income % Net relised investment gins/losses Other revenues % Group items income Expenses Group function expenses % Interest expenses % Indirect nd other txes % Other % Interest nd other expenses % Operting income/loss % Improvement driven by lower FX impct nd bsence of significnt vlution djustments in 2010, reflecting lower voltility in credit spreds 8 Other ssets/libilities Other invested ssets Q Derivtive instruments Equity ccounted compnies Other investments Securities purchsed under greement to resell Totl Other ssets Q Securities in trnsit 1276 Reinsurnce relted ssets Other ssets Totl 6692 Accrued expenses nd other libilities Q Securities sold under greement to repurchse Derivtive instruments Securities sold short Securities in trnsit 1873 Other finncil libilities 733 Totl finncil libilities Other libilities Totl

6 Unit-linked nd with-profit ssets Q Unit-linked investments Equities Government bonds Corporte bonds 820 Securitised products 14 Rel estte 719 Csh nd csh equivlents 701 Short-term investments 213 Totl unit-linked investments Q With-profit business Equities Government bonds 549 Corporte bonds 941 Securitised products 51 Rel estte 611 Csh nd csh equivlents 71 Short-term investments 10 Totl with-profit business Unit-linked nd with-profit investments re included in ssets designted s trding 10 Net investment income Q Q12010 Chnge Fixed income % Equities % Other sset clsses Investment expenses % Interest pid on cedent deposits % Assets held for with-profit business % Assets held for linked libilities % Net investment income % Q Q Cedent deposits Csh nd csh equivlents RE direct PE Hedge Funds 1 3 Other 5 10 Other sset clsses Lower fixed income s result of de-risking during 2009 nd lower interest rtes Mrk to mrket gins in PE in

7 Net relised gins/losses Q Q 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 Q Credit -38 Rtes -71 Equities nd lterntives -51 Legcy -19 Insurnce derivtives (incl. VA) 79 Tresury nd other 63 Other sset clsses -37 Net relised gins in fixed income in 2010 relte minly to sle of government bonds nd securitised products Q Q FX M-T-M Totl The designted trding portfolios re foreign currency denominted trding fixed income securities which bck certin foreign currency denominted libilities 12 Impirments Profit nd loss impct Asset Mngement Legcy Totl Q Corporte bonds Securitised products Alterntive Investments Totl AM securitised products impirments relte to non-us RMBS nd CMBS positions AM impirments decresed more thn 80% from Q (Q impirments: AM USD 569m, Legcy USD 119m) 13

8 Net unrelised gins, pre-tx 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 Government bonds USD -0.6bn USD -0.4bn Corporte bonds USD +0.7bn USD +1.0bn Securitised products USD -1.9bn USD -0.9bn 14 Asset Mngement Return on investments bsis Investments included in the RoI clcultion USD bn FY 2009 Q Where to find? Totl investments Blnce sheet Csh nd csh equivlents Blnce sheet Totl investment portfolio Slide 17 Unit-linked investments With-profit business Slide 10 Slide 10 Totl (excl. unit-linked nd with-profit) Slide 17 Securities in trnsit Finncil libilities Policy lons Legcy Other Slide 9 Slide 9 Blnce sheet (policy lons, mortgges nd other lons) Slide 17 Vrious items Totl

9 Asset Mngement Return on investments clcultion Q t vg. FX Q t vg. FX Credit nd rtes Equities & lterntive investments Foreign exchnge remesurement nd designted trding portfolios Adjustments Bsis for RoI Averge invested ssets t vg. FX rtes Return on investments 1.9% 2.8% Chnge -34% - 93% - 48% 0.9 pts. 1 Excludes minority interests 2 Exclusion of third-prty fee business 3 Averge ssets clcultion bsed on monthly verge 16 Overll investment portfolio 64% invested in csh, short-term investments, tresuries or government bcked USD bn Blnce sheet vlues Unit-linked investments With-profit business Investments for own ccount (on blnce sheet only) % 1 10% 3% 12% Asset Mngement Totl % 10% 18% 9% 7% 3% 12% 36% 18% 35% Legcy Totl % 6% 2% 12% 7% 38% Asset Mngement Totl % 8% 19% 8% 2% 12% 12% 34% Legend Csh nd csh equivlents Short-term investments Government bonds Equities Corporte bonds Agency securitised products Other securitised products Mortgges Lons (incl. policy lons) Other investments (incl. rel estte) 3% 9% 10% 2% 12% 19% 3 Legcy Totl % 25% 40% 23% 2% 5% 4% 17

10 Fixed income securities USD bn 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 1 Totl Legcy AM Decrese minly due to net sles nd mturities of USD 7.2bn nd FX offset by mrk-to-mrket gins of USD 0.2bn Legcy AM Net sles nd mturities of USD 0.5bn nd FX, prtilly offset by unrelised gins 1 Includes invested ssets nd off blnce sheet investment exposures, excludes ct bonds nd lons Legcy AM Net sles nd mturities of USD 3.5bn nd FX offset by mrk-to-mrket gins of USD 1.0bn 18 Corporte bonds Hedge reduction continues Totl corporte bonds End Q1 2010, by rting BBB 43% <BBB 4% NR AAA 2% 4% AA 7% A 40% End Q % of Totl Resources % Bsic industries % Cyclicl consumer goods % Cyclicl services % Energy, utilities & mining % Finncils % Generl industrils % Informtion technology % Non-cyclicl consumer goods % Non-cyclicl services % Totl % Finncils: Corporte by sub-segments 5% 14% 2 60% Bnks Specilty Insurnce Rel Estte/other AAA AA A BBB < BBB NR Totl Totl Hedging notionl Net totl Hedging is presented on notionl bsis; however, when viewed on n economic risk bsis, hedging my hve different impct on the portfolio 19

11 Asset Mngement Corporte bonds Reduction of hedge notionl Mrket vlue Sensitivity (CR01) Gross Net of hedging Gross Net of hedging Gross Net of hedging Gross Net of hedging Key Points Corporte bonds continue to be mnged, djusting hedges with portfolio chnges CR01 incresed minly from reduction of hedge notionl by USD 3.7bn during Q Swiss Re remins exposed to bsis risk Sensitivity CR01 is the sensitivity of Swiss Re s investment portfolio per bsis point move in credit spreds. As t 31 Mrch 2010 the net impct would be decrese of USD 8.0m for ech bsis point credit spreds widen Hedging presented on notionl bsis; when viewed on economic risk bsis, hedging my hve greter impct 20 Asset Mngement Corporte bond hedging Q Q Q Q Q Q Q Cumultive Corporte bond m-t-m (blnce sheet) Corporte bond hedging (p&l) Net During Q1 2010, mrk-to-mrket gins on corporte bonds of USD 0.3bn recorded in the blnce sheet Hedging reduced operting income by USD 0.1bn in Q

12 Securitised products 20% is Agency nd further 42% is AAA Other Securitised Mrket Vlue in A A-A Below A TOTAL USD RoW Totl Est. % pr 40% 20% 50% Other ABS Mrket Vlue in A A-A Below A TOTAL USD RoW Totl Est. % pr 98% 99% 95% 16% 4% 20% Agency Securitised Products Mrket Vlue in TOTAL Est.% pr 104% CMBS Mrket Vlue in A A-A Below A Totl TOTAL USD RoW RMBS 29% 3 Est. Mrket Vlue in % pr A A-A 90% TOTAL % USD % Totl: USD 17.8bn (86% pr) RoW Non-Agency Totl: USD 14.3bn (8 pr) Below A Totl The exposures in this slide re gross of hedging. The Group purchses ABX, CMBX index nd CDS protection s proxy hedge for its securitised product portfolio. There is significnt bsis risk There is no ssurnce tht these hedges will be effective. We my increse, decrese or discontinue hedging depending on our view of mrket conditions Includes invested ssets nd off blnce sheet investment exposures, excludes ct bonds. Percentge of pr is bsed on weighted verge bsis. As t 31 Mrch Est. % pr 7 65% 77% 22 Asset Mngement Securitised products Net sles nd mrk-to-mrket gins Mrket vlue Sensitivity (CR01) Key Points Mrket vlue decresed due to sles, prtly offset by improvements in mrket vlues As of 31 Mrch 2010, the hedge notionl ws USD 1.1bn with CR01 sensitivity of USD 0.5m, bringing the net CR01 to USD 5.2m Sensitivity CR01 is the sensitivity of Swiss Re s investment portfolio per bsis point move in credit spreds. As of 31 Mrch 2010 the net impct, excluding ny hedging impcts, would be decrese of USD 5.7m for ech bsis point credit spreds widen 23

13 Legcy Securitised products Exposure continues to be reduced Mrket vlue Sensitivity (CR01) Key Points End FY 2009 End Q Asset exposures re on nd off blnce sheet Sles prtly offset by increse in mrket vlues The Group hs purchsed ABX, CMBX index nd CDS protection s proxy hedge for its Legcy securitised product portfolio. There is significnt bsis risk As of 31 Mrch 2010, the hedge notionl ws USD 2.3bn with CR01 sensitivity of USD 1.1m, bringing the net CR01 to USD -0.5m Hedging is presented on notionl bsis; however, when viewed on n economic risk bsis, hedging my hve greter impct on the portfolio 24 Asset Mngement Equities nd lterntive investments Further reductions nd mrk-to-mrket gins Equities End FY 2009 Delt equivlents End Q Delt equivlents Globl Equity portfolio 0 0 Listed Rel Estte 0 0 Strtegic Holdings Totl mrket vlue Alterntive investments End FY 2009 Mrket vlues End Q Mrket vlues Hedge Funds Privte Equity Rel Estte Totl mrket vlue Equity ccounted 78% of Hedge Funds portfolio 74% Privte Equity portfolio goes through net investment income Hedge fund redemptions of USD 58m in Q Privte Equity decrese minly from sle of Atrdius Rel estte portfolio contins both direct rel estte investments in Switzerlnd nd Germny nd well diversified indirect privte rel estte investments Excludes minority interests 25

14 De-risking: Actions tken in Q Asset exposures Net reductions USD bn FY 2009 Q Corporte bonds Sles continue into rebounding mrket AM Legcy Securitised products AM Legcy Equity & Alt. Investments -0.6 Totl reductions in portfolio Sles primrily of CMBS, RMBS nd Agency positions Redemptions in hedge funds nd sle of Atrdius (pre-hedging) 26 Swiss Re s cpitl structure USD bn 45 Senior long-term finncil debt Hybrid cpitl Mndtory convertibles Shreholders' equity (CPCI) Shreholders' equity (common) Hybrid to totl cpitl Senior finncil debt to totl cpitl % % % % % % % 25% 2.4% 2.3% 1.9% 1.5% 4.6% 4.4% Q % 27

15 Return on equity clcultion Q Q Net income Opening equity Closing equity Averge equity Time weighted cpitl movement - - Time weighted verge equity - - Return on equity, nnulised 2.9% 2.7% Return on equity is computed by dividing nnulised net income ttributble to common shreholders by verge common shreholders equity, i.e. excluding CPCI nd noncontrolling interests 28 Number of shres in millions Q Dividend shres Tresury shres 16.3 Shres reserved for corporte purposes 11.7 Totl mount of shres outstnding Convertible perpetul cpitl instrument Shres linked to employee prticiption plns (est.) 5.5 Diluted number of shres Assuming conversion t the full fce vlue of the instrument issued 29

16 Exchnge rtes Averge rtes Q Closing rtes EUR/USD GBP/USD CAD/USD CHF/USD Q Q Chnge Q1 2009/Q % 9.8% 20.0% 9.2% Chnge Q4 2009/Q % 0.6% 10.3% 3.3% Gross premiums written Q split by min currencies CAD 4% Other 18% USD 38% Q EUR/USD GBP/USD CAD/USD CHF/USD Q Q Chnge Q1 2009/Q % 6.3% 25.3% 8.0% Chnge Q4 2009/Q % -5.6% 4.2% -2. EUR 33% GBP 7% 30 Corporte clendr & contcts Corporte clendr 11 June 2010 Investors Dy London 05 August 2010 Second Qurter 2010 results Conference cll 13 September 2010 Investors nd Medi meeting Monte Crlo 04 November 2010 Third Qurter 2010 results Conference cll 17 Februry 2011 Annul Results 2010 Zurich Investor Reltions contcts Hotline E-mil Susn Hollidy Ross Wlker Chris Menth John Piper Simone Fessler

17 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 one of the finncil strength or other rtings of one or more compnies in the Group; the cycliclity of the reinsurnce industry; uncertinties in estimting reserves; 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 creditrelted 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; nd opertionl fctors, including the efficcy of risk mngement nd other internl procedures in mnging the foregoing risks. These fctors re not exhustive. Swiss Re opertes in continully chnging environment nd new risks emerge continully. Reders re cutioned not to plce undue relince on forwrd-looking sttements. Swiss Re undertkes no obligtion to publicly revise or updte ny forwrd-looking sttements, whether s result of new informtion, future events or otherwise. 32

First Quarter 2010 results. Analyst and investor conference call Zurich, 06 May 2010

First Quarter 2010 results. Analyst and investor conference call Zurich, 06 May 2010 First Qurter 2010 results Anlyst nd investor conference cll Zurich, 06 My 2010 Tody s gend Introduction Susn Hollidy, Hed IR Business performnce George Quinn, CFO Questions & nswers 2 Introduction Susn