Results Reporting for the Three Months to March 31, 2009

Transcription

1 Results Reporting for the Three Months to March 3, 2009 Analysts and Media Presentation

2 Disclaimer and cautionary statement By participating in this conference call you agree to be bound by the following limitiations. Certain statements in this document are forward-looking statements, including, but not limited to, statements that are predications of or indicate future events, trends, plans or objectives. Forward-looking statements include statements regarding our targeted profit improvement, return on equity targets, expense reductions, pricing conditions, dividend policy and underwriting claims improvements, as well as statements regarding our understanding of general economic, financial and insurance market conditions and expected developments. Undue reliance should not be placed on such statements because, by their nature, they are subject to known and unknown risks and uncertainties and can be affected by other factors that could cause actual results and plans and objectives of Zurich Financial ServicesLtd or the Zurich Financial Services Group (the Group ) to differ materially from those expressed or implied in the forward looking statements (or from past results). Factors such as (i) general economic conditions and competitive factors, particularly in our key markets; (ii) the risk of the global economic downturn and a downturn in the financial services industries in particular; (iii) performance of financial markets; (iv) levels of interest rates and currency exchange rates; (v) frequency, severity and development of insured claims events; (vi) mortality and morbidity experience; (vii) policy renewal and lapse rates; and (viii) changes in laws and regulations and in the policies of regulators may have a direct bearing on the results of operations of Zurich Financial Services Ltd and its Group and on whether the targets will be achieved. Zurich Financial Services Ltd undertakes no obligation to publicly update or revise any of these forward-looking statements, whether to reflect new information, future events or circumstances or otherwise. It should be noted that past performance is not a guide to future performance. Please also note that interim results are not necessarily indicative of the full year results. Persons requiring advice should consult an independent adviser. This communication does not constitute an offer or an invitation for the sale or purchase of securities in any jurisdiction. THIS COMMUNICATION DOES NOT CONTAIN AN OFFER OF SECURITIES FOR SALE IN THE UNITED STATES; SECURITIES MAY NOT BE OFFERED OR SOLD IN THE UNITED STATES ABSENT REGISTRATION OR EXEMPTION FROM REGISTRATION, AND ANY PUBLIC OFFERING OF SECURITIES TO BE MADE IN THE UNITED STATES WILL BE MADE BY MEANS OF A PROSPECTUS THAT MAY BE OBTAINED FROM THE ISSUER AND THAT WILL CONTAIN DETAILED INFORMATION ABOUT THE COMPANY AND MANAGEMENT, AS WELL AS FINANCIAL STATEMENTS. 2

3 Agenda Introduction Results for the Three Months to March 3, 2009 James J. Schiro Dieter Wemmer Q&A Closing remarks James J. Schiro 3

4 Introduction James J. Schiro Chief Executive Officer

5 Financial highlights in USD millions for the three months to March Change Business operating profit (BOP),06,764-40% Net income attributable to shareholders 362,427-75% General Insurance combined ratio 95.8% 94.6% -.2pts Global Life new business margin % 22.2% -.6pts Farmers Mgmt Services managed GEP margin 3 7.5% 7.0% 0.5pts Return on common shareholders' equity (ROE) 6.6% 9.9% -3.3pts Business operating profit (after tax) ROE 4.8% 8.6% -3.8pts Throughout this document, certain comparatives have been restated. Refer to the unaudited Consolidated Financial Statements for details. 2 After tax, as % of APE (Annual Premium Equivalent). 3 Margin on gross earned premiums of the Farmers Exchanges. Zurich Financial Services Group has no ownership interest in the Farmers Exchanges. Farmers Group, Inc., a wholly owned subsidiary of the Group, provides management services to the Farmers Exchanges and receives fees for its services. 5

6 Results for the Three Months to March 3, 2009 Dieter Wemmer Chief Financial Officer

7 Business operating profit and net income by quarter Business operating profit in USD millions 2,000,764,785,500, ,002,06 0 Q-2008 Q Q Q Q-2009 Net income attributable to shareholders in USD millions 2,000,500,000,427, Q-2008 Q Q Q Q

8 Business operating profit by segment in USD millions for the three months to March Change General Insurance 889,89-25% Global Life % Farmers (including Farmers Re) % Other Operating Businesses % Total Core BOP,389,783-22% Non-Core Businesses nm Total BOP,06,764-40% Throughout this document, certain comparatives have been restated. Refer to the unaudited Consolidated Financial Statements for details. 8

9 Impact of financial markets on Business operating profit in USD millions General Insurance Global Life Farmers (including Farmers Re) Other Operating Businesses Total Core Non-Core Businesses Total Financial market impact on BOP Q Total BOP Q , ,06 9

10 Top line development by segment in USD millions for the three months to March Change Change in LC General Insurance GWP and policy fees 9,84,9-2% -3% Global Life GWP and policy fees (incl. insurance deposits) 2 5,529 5,397 2% 20% Annual Premium Equivalent (APE) % Farmers Farmers management fees % 6% Farmers Re GWP,056 Local Currency 2 Global Life numbers include gross written premiums, policy fees and insurance deposits 3 Gross new business annual premium equivalent (APE) 409 nm nm 0

11 Rate Change Monitor for personal and commercial lines 3 months months 2008 GC NAC EGI Int l Markets Farmers Exchanges 2 GC 3 NAC EGI 3 Int l Markets 3 Farmers Exchanges 2 Personal Lines Commercial Lines n/a n/a % 3% 3% 3% 2% 2% 3% n/a n/a n/a 2% % 7% -5% -3% % 2% n/a EGI by country EGI by country Switzerland UK Germany Italy Spain Rest of EGI Switzerland UK Germany Italy Spain Rest of EGI 3 Personal Lines 0% 2% -% % 2% % 9% % -% 2% 5% -2% Commercial Lines 2% 3% -% % 6% 4% -2% % -% 0% 5% 6% The Zurich Rate Change Monitor expresses the Gross Written Premium development due to premium rate change as a percentage of the renewed portfolio against a comparable prior period. In this slide, the shown periods 2009 and 2008 are compared to the same periods 2008 and 2007 respectively. 2 Zurich Financial Services Group has no ownership interest in the Farmers Exchanges. Farmers Group, Inc., a wholly owned subsidiary of the Group, provides management services to the Farmers Exchanges and receives fees for its services. 3 Figures restated as a result of the realignment of the previous International Businesses into a new regional structure as of Please refer to the Consolidated Financial Statements for further details.

12 General Insurance key performance indicators Business Operating Profit Combined ratio (%) in USD millions for the three months to March 3 Global Corporate North America Commercial Europe General Insurance International Markets Other Total ,89 Change -0% -8% -44% nm -54% -25% 3 Global Corporate NA Commercial Europe General Insurance Int l Markets Total GI Global Functions, Group Reinsurance and inter-segment eliminations 2 Including GI Global Functions, Group Reinsurance and inter-segment eliminations 3 Equivalent to -7% in local currency m09 3m08 2

13 General Insurance net expense ratio walk from 3 months 2008 to 3 months % 0.2% 0.2% 0.% 25.7% Expense ratio development Last eight discrete quarters 24.6% 25.2% 26.6% 24.7% 26.6% 24.7% 26.% 25.7% 0.5% 2.% 2.% 2.6% 3.6% Q207 Q307 Q407 Q08 Q208 Q308 Q408 Q09 3m08 Expense Ratio One-offs in provisions SBS transfer Acquisitions 2 Other (incl. FX) 3m09 Expense Ratio Commissions Other technical expenses Offsetting a benefit in the commission ratio of 0.2% originating from the reinsurance commissions in the transfer of Small Business Solutions from North America Commercial to the Farmer s Exchanges. 2 Zurich s various acquisitions in Brazil, Germany, Spain and Turkey in the last 2 months. 3

14 Comparison of General Insurance loss ratio 3 months months % 70.0% 70% 69.9% 66.2% 66.4% 65%.6% 0.0% -5.5% 65% 60% Underlying Loss Ratio USD 4m PYD Major CAT 2 USD -383m Large Claims 3 Reported Loss Ratio Underlying Loss Ratio 3.8% USD 30m 0.0% -7.3% USD -578m Prior Year Development. 2 Major CAT (potential USD 00m or greater for Zurich). 3 Large claims are defined individually by our General Insurance Business Divisions, constantly applied over time, excluding Major CATs. PYD Major CAT 2 Large Claims 3 Reported Loss Ratio 4

15 Global Life key performance indicators in USD millions for the three months to March Change Change in LC Annual Premium Equivalent (APE) % New business value, after tax % 5% New business margin, after tax % 22.2% -.6pts Business operating profit % -25% Local Currency 2 As % of APE 5

16 Global Life new business indicators in USD millions for the three months to March 3 APE 2009 APE 2008 Change Change in LC Bank Distribution % 2% IFA/Brokers % -4% Agents % -3% Corporate Life & Pensions 02 8% 30% International / Expats % -5% Private Banking Client Solutions Direct and central initiatives % 4% Total % Local currency 6

17 Farmers Farmers Management Services key performance indicators in USD millions for the three months to March Change Management fees and other related revenues % Management and other related expenses % Gross management result 3 28 % Managed gross earned premium margin 7.5% 7.0% 0.5pts Business operating profit % Margin on gross earned premiums of the Farmers Exchanges. Zurich Financial Services Group has no ownership interest in the Farmers Exchanges. Farmers Group, Inc., a wholly owned subsidiary of the Group, provides management services to the Farmers Exchanges and receives fees for its services. 7

18 Farmers Farmers Re key performance indicators in USD millions for the three months to March Change Gross written premiums, % Net underwriting result nm Combined ratio 02.3% 97.7% -4.6pts CAT impact 3.8% 0.4% -3.4pts Business operating profit % As defined by the Farmers Exchanges. 8

19 Farmers Exchanges key performance indicators in USD millions for the three months to March Change Gross written premiums 4,52 4,027 3.% Net underwriting result nm Combined ratio 02.2% 99.7% -2.5pts Adjusted combined ratio % 92.4% -.9pts CAT 3 impact 4.5%.0% -3.5pts Surplus ratio 37.3% 40.% -2.8pts Zurich Financial Services Group has no ownership interest in the Farmers Exchanges. Farmers Group, Inc., a wholly owned subsidiary of the Group, provides management services to the Farmers Exchanges and receives fees for its services. 2 Adjusted for profit portion of management fees. 3 As defined by the Farmers Exchanges. 9

20 Other Operating and Non-Core Businesses Business operating profit contribution in USD millions for the three months to March Change Other Operating Businesses % Non-Core Businesses - Centre -6-2 nm - Centrally managed businesses nm - Other run-off % Total Non-Core Businesses nm 20

21 Investment performance of Group investments in USD millions for the three months to March Change Net investment income,844 2,63-5% Net capital losses/gains on investments and impairments -,028 0 nm of which attributable to shareholders nm Net investment result 86 2,73-62% Net investment result in % 2 0.5%.% -0.6pts Movements in net unrealized losses on investments included in shareholders equity 3 -,48 -,580-0% Total net investment return 2 Including impairments of USD 500m (Q-08: USD 235m) 2 In % of average investments, not annualized 3 Before attribution to policyholders and other -0.3% 0.3% -0.6pts 2

22 Group investments capital losses in P&L Net capital losses/gains on investments and impairments (in P&L) in USD millions for the three months to March 3, of which: impairments Total -,028 of which in: - GI 35% - Global Life 33% of which: attributable to shareholders -683 Total -500 of which in: - GI 62% - Global Life 3% Equity investments Debt investments Other investments 22

23 Group investments unrealized losses Change in net unrealized losses on investments included in shareholders equity in USD millions for the three months to March 3, ,222 Total,48 of which in: - GI 27% - Global Life 67% of which: attributable to shareholders Before attribution to policyholders and other 2 After attribution to policyholders and other Equity investments Debt investments Other investments 23

24 Development of shareholders equity in USD millions 24,000 23,000 22,000 22, ,257 2,000 20,000 9,000 Balance as of Dec 3, 2008 Net Income attributable to shareholders Change in net unrealized losses on investments Cumulative Translation Adjustments Net actuarial gains on pension plans Other movements Balance as of March 3, 2009 Includes dividends, net other recognized income and expense, changes in cash flow hedges, share-based payment transactions and other. 24

25 2009 estimated economic and regulatory solvency Statutory solvency ratio / Group s Solvency I Dec. 3, 08 Impact Q-09 Mar. 3, 09 60% 2-3pts 57% Sensitivities Unrealized losses on debt securities GI DAC +2pts +24pts Economic solvency ratio 3 ~95% 7 Impact Q-09 & risk mitigation actions ~02% 8 Expected impact of senior bond issue & PAG acquisition 4 ~0% Impact 00bp liquidity premium 5 +9pts January estimate for 2009 March 3 estimate for 2009 excl. senior bond issue & PAG acquisition 4 March 3 estimate for 2009 incl. senior bond issue & PAG acquisition 4 Solvency I requirements in accordance with the Swiss insurance supervisory law; ratios as of Dec 3, 2008 and March 3, 2009, respectively. 2 Finalized and as filed with the Swiss regulator; after dividend. 3 Economic financial strength is based on available financial resources (AFR) at the beginning of the period and expected risks to be taken during the period (RBC). Economic financial strength is based on AA calibration. 4 Announced acquisition of AIG s US Personal Auto Group (PAG), closing subject to regulatory and other approvals. 5 Impact on Available Financial Resources. 25

26 Updated economic solvency view for 2009 in USD billion Available Financial Resources (AFR) Estimated AFR as of Jan, Movements in Q Senior bond issue in April PAG acquisition + March 3 estimate for 2009 AFR + 30 Risk Based Capital (RBC) Estimated RBC as of Jan, Estimated 2009 economic solvency ratio ~0% Movements in Q-09 and risk mitigation actions - 2 PAG acquisition + March 3 estimate for 2009 RBC + 27 Approximated and rounded. 26

27 Summary Strong and improving balance sheet Continued strong operational performance Profitable growth achieved in targeted areas TZW benefits and additional expense control actions 27

28 Q&A 28

29 Closing remarks James J. Schiro Chief Executive Officer

30 Appendix 30

31 Zurich is poised for profitable growth 6% 6% 9% Focus on volume growth Farmers Global Life EGI % IM NAC Focus on margin enhancement -3% GC Legend for GI BDs IM International Markets EGI Europe General Insurance GC Global Corporate NAC North America Commercial Volume growth measured as growth in fee income for Farmers Management Services, growth in APE in local currency for Global Life and GWP growth in local currency for General Insurance % 3

32 The Zurich Way and 2009 expense saving initiatives The Zurich Way Target of USD 2.7 billion for 2009 to 20 USD 500m USD 700m USD 800m USD 900m Total TZW planned benefits 2009 to 20: USD 2.7 billion We have comfortably achieved our 2008 target. Developing our three year plan, we expect benefits of USD 2.7 billion for 2009 to 20 8 major TZW workstreams with continuing focus on Profitable Growth and Operational Transformation initiatives Expected contribution to key performance indicator for 2009-: General Insurance: Combined ratio: 2-3pts p.a expense saving initiatives Targeted additional pre-tax savings of USD 400m to come from one-off cost cutting measures in

33 The Zurich Way initiatives 2009 target by function USD 900m by business division USD 900m USD 800m 2% Growth/ Distribution USD 800m USD 700m 2% 36% 6% 32% 7% 30% Claims USD 700m 3% 28% 35% 22% 39% 23% Europe General Insurance North America Commercial 43% 34% 29% 2% 5% 20% 8% 2% Estimate, subject to completion of planning process U/W Expenses 5% 7% % % 5% 5% % 5% 8% 2009 Global Corporate Global Life Other 33

34 Business division BOP-ROE based on RBC-allocated IFRS equity for the three months to March 3 General Insurance Global Corporate North America Commercial Europe General Insurance International Markets GI Global Functions including Group Reinsurance Global Life Farmers Other Operating Businesses Non-Core Businesses % 27.5% 27.6% 35.8% 2.9% 6.4% 8.5% 43.% -0.4% -04.8% % 22.% 22.6% 42.8% 0.9% 9.% 9.9% 56.% -3.6% -7.4% Total Group Total Group BOP (after tax) ROE 2 9.5% 4.8% Adjusted BOP-ROE based on average IFRS Group equity allocated to the segment based on its share of Zurich risk based capital (RBC). 2 Business operating profit (after tax) return on common shareholders equity. 24.6% 8.6% 34

35 Group s Solvency I - sensitivities Statutory solvency ratio as of Mar 3, 2009: 57% Sensitivities: Equities (-0%) - pts Interest rate +00bp -5 pts Interest rate -00bp +5 pts Solvency I requirements in accordance with the Swiss insurance supervisory law 35

36 Group s Solvency I calculation in USD millions Mar 3, 09 Dec 3, 08 finalized Dec 3, 08 estimate 2 Eligible equity Total equity 23,850 23,78 23,78 Net of intangibles, other assets and free reserves for policyholder dividends -4,832-3,892-3,966 Subordinated debt 3,582 3,683 3,683 Deferred policyholder acquisition costs general insurance -2,86-2,793-3,57 Dividends, share buy-back and nominal value reduction -,326 -,4 -,4 Total eligible equity 8,458 9,369 8,56 Total required solvency capital Excess margin Solvency ratio,762 6,696 57% Finalized and as filed with the Swiss regulator 2 Estimated as reported in the Group s Financial Report 2008, published on February 5, ,42 7,227 60% 2,42 6,375 53% 36

37 New segment reporting structure (IFRS 8): Business Operating Profit 3 months 2008 in USD millions for the three months to March 3, 2008 Previous segment reporting structure Total Global Life 337 Farmers Management Services 300 Other Businesses 38 Farmers Re 3 Centre -2 Centrally Managed Businesses -8 Rest of Other Businesses 36 Corporate Functions -00 Global Life Farmers New segment reporting structure (IFRS8) Other Operating Businesses Non-core Businesses Alternative Banking Holding & Headquarters Centre Centrally Other Investment Activities Financing Managed run-off Businesses Total

38 New segment reporting structure (IFRS 8): Business Operating Profit Half Year 2008 in USD millions for the six months ended June 30, 2008 Previous segment reporting structure Total Global Life 766 Farmers Management Services 67 Other Businesses 90 Farmers Re 54 Centre 4 Centrally Managed Businesses 54 Rest of Other Businesses 77 Corporate Functions -26 Global Life Farmers New segment reporting structure (IFRS8) Other Operating Businesses Non-core Businesses Alternative Banking Holding & Headquarters Centre Centrally Other Investment Activities Financing Managed run-off Businesses Total

39 New segment reporting structure (IFRS 8): Business Operating Profit 9 months 2008 in USD millions for the nine months ended September 30, 2008 Previous segment reporting structure Total Global Life,224 Farmers Management Services 99 Other Businesses 6 Farmers Re 77 Centre -5 Centrally Managed Businesses -234 Rest of Other Businesses 68 Corporate Functions -542 Global Life,224 8 Farmers New segment reporting structure (IFRS8) Other Operating Businesses Non-core Businesses Alternative Banking Holding & Headquarters Centre Centrally Other Investment Activities Financing Managed run-off Businesses Total,

40 New segment reporting structure (IFRS 8): Business Operating Profit FY 2008 in USD millions for the year ended December 3, 2008 Previous segment reporting structure Total Global Life,480 Farmers Management Services,202 Other Businesses -260 Farmers Re 54 Centre -06 Centrally Managed Businesses -487 Rest of Other Businesses 79 Corporate Functions -772 Global Life,480 9 Farmers, New segment reporting structure (IFRS8) Other Operating Businesses Non-core Businesses Alternative Banking Holding & Headquarters Centre Centrally Other Investment Activities Financing Managed run-off Businesses Total,489,

41 Development of Reserves for Losses and Loss Adjustment Expenses (LAE) in USD millions Net reserves for losses and LAE, as of January Net losses and LAE paid Net losses and LAE incurred ,986-5, ,72-5,398 - Current year 5,792 6,23 - Prior years Foreign currency translation effects & other Net reserves for losses and LAE, as of March ,897,52 56,652 Of which within General Insurance: USD 4 million and USD 30 million for the first three months 2009 and 2008 respectively. 4

42 Global Life new business indicators in USD millions for the three months to March 3 APE 2009 APE 2008 Change Change in LC NBV NBV Change Americas, of which % 5% % US % 3% % Latin America % 29% % United Kingdom % 2% 5 6-5% Germany % -34% % Switzerland % -2% % Ireland % -8% 2 5-9% Spain 90 nm nm 27 3 nm Emerging markets in Asia Rest of the world Total Local Currency 2 New business value, after tax % -22% 0% -29% -8% 6% % 09% -7% 42

43 Global Life - Assets under Management AuM decreased mainly due to currency translation and a reduction of the market value of assets Split of AuM in USD billions Development of AuM in USD billions Balance as of Jan, 2009 Inflows Outflows -5 6 Mar 3, 09 Group Investments 3rd party Investments 66 Dec 3, 08 UL Investments Market movements & other Currency translation Balance as of Mar 3, 2009 Assets under Management comprise the Group and unit-linked investments that are included in the Global Life balance sheet plus assets that are managed by third parties, for which we earn fees. 2 Other includes dividends, charges levied on Assets under Management, and other changes in invested assets

44 Farmers Exchanges financial highlights: strong premium growth in USD millions for the three months to March 3 Gross written premiums , ,027 6'000 5' % 40.0% Net underwriting result -80-4' % Net surplus growth ' % Ending surplus 5,000 5,749 2' % Surplus ratio 37.3% 40.% ' % Zurich Financial Services Group has no ownership interest in the Farmers Exchanges. Farmers Group, Inc., a wholly owned subsidiary of the Group, provides management services to the Farmers Exchanges and receives fees for its services % Q-09 Surplus Notes Surplus Ratio As of the end of the period Paid in Capital & Unassigned Surplus 44

45 Farmers Exchanges gross written premiums by line of business in USD millions for the three months to March Change Auto 2,26 2,207-4% Homeowners, % Commercial P&C % Zurich Small Businesses 48 n/a n/a Workers Compensation % Specialty % Other % Total 4,52 4,027 3% 45

46 Farmers Exchanges premium growth outperforming industry GWP growth 8% 6% Industry Growth Rate 2008: -.2% 2009 Forecast: -0.6% 5.0% 4.6% 5.% 5.4% 5.7% 2 6.5% 2 6.% 2 5.7% 4% 3.2% 3.3% 3.% 2%.4% 2.2% 0% 3 months 2006 Half year months 2006 Full year months 2007 Half year months 2007 Full year months 2008 Half year months 2008 Full year months 2009 Source of FY09 estimate: Conning Property-Casualty Forecast & Analysis By Line Of Insurance Q09 released 04/07/09 (weighted for Farmers LOBs). 2 Excluding USD 425m portfolio transfer of Zurich Small Business unearned premiums in 2008 and USD 322m of Bristol West premiums (pre-acquisition, Jan to July) in

47 Farmers Exchanges combined ratio for the three months to March Change Auto 00.0% 0.3%.3pts Homeowners 08.8% 00.3% -8.5pts Commercial P&C 96.5% 92.8% -3.7pts Zurich Small Business 03.7% N/A N/A Workers' Compensation 98.6% 89.6% -9.0pts Specialty 00.2% 99.7% -0.5pts Total 02.2% 99.7% -2.5pts Adjusted combined ratio % 92.4% -.9pts CAT impact Before quota share treaties with Farmers Re 2 Adjusted for profit portion of management fees 4.5%.0% -3.5pts 47

48 Farmers Exchanges development of the combined ratio Quarterly combined ratio 20% 5% Other Cats 0% 05% 00% 95% California wildfires Florida hurricanes Rita Katrina Midwest Cats California wildfires Gustav Ike 90% Q Q2 Q3 Q4 Q Q2 Q3 Q4 Q Q2 Q3 Q4 Q Q2 Q3 Q4 Q Q2 Q3 Q4 Q Q2 Q3 Q4 Q Q2 Q3 Q4 Q

49 Zurich s investment portfolio profits greatly from diversification and is balanced in terms of risk Risk Allocation of Zurich s investment portfolio as of March 3, 2009 Asset allocation (%) Real Estate Equities 5.7 Cash, 2.8 short 7.6 term Hedge Funds / Private Equity Fixed income Risk diversification and matching (%) Risks to Zurich s economic net ALM position measured as 2 months value at risk with 99.95% confidence interval 00 Sum of single security risks (before diversification) 38 Investment risks only (diversified) 27 Investment risks relative to liabilities Risk exposure (%) Real Estate Credit Hedge Funds Equities Interest rate 49

50 Group Investments Zurich s debt securities are of consistently high quality (99% investment grade) As of March 3, 2009 Group Investments USD 74bn Debt securities USD 7bn credit rating: AAA 57.2% Other asset classes Debt securities 98.9% investment grade credit rating: AA.2% 33% 67% credit rating: A 24.9% Unrated/below inv. grade.% credit rating: BBB 5.6% 50

51 Group Investments Zurich s debt securities are well balanced Group Investments - USD 74bn (00%) As of March 3, 2009 Government and supranational bonds: USD 45bn (26%) Market/Cost : 03% of which: 99% inv. grade 47%in General Insurance 7% AAA 46% in Global Life 0% AA 7% A % BBB Debt securities 67% of which: 34% in General Insurance 60% in Global Life Corporate bonds: USD 50bn (29%) Market/Cost : 94% 99% inv. grade 30% AAA 5% AA 42% A 2% BBB % unrated Other asset classes 33% Market value to Cost value ratio of which: 72% in General Insurance 8% in Global Life MBS/ABS: USD 22bn (3%) Market/Cost : 9% 98% inv. grade 93% AAA 5

52 Group Investments Zurich s Corporate bonds are of high quality Group Investments - USD 74bn (00%) As of March 3, % = USD 50bn Debt securities 67% Other asset classes 33% Split by industries 46% Banks, including 20% covered bonds 0% Cities, Agencies, Cantons, Provinces, including % covered bonds 7% Utilities 6% Financial Institutions, including % covered bonds 5% Telecom 3% Oil & gas 2% Insurance 2% Transportation 2% Pharmaceuticals Corporate bonds: USD 50bn (29%) Market/Cost: 94% Split by credit rating 99% inv. grade 30% AAA 5% AA 42% A 2% BBB % unrated Split by country/region 28% US 7% UK 30% Germany 6% Spain 6% France 3% Italy % Rest of Europe 52

53 Group Investments Banks Corporate bonds are of high quality and well diversified Group Investments - USD 74bn (00%) As of March 3, 2009 Banks Corporate bonds: USD 23bn (3%) Market/Cost: 93% Split by seniority 43% Covered bonds 46% Senior bonds % Subordinated of which: 3% Tier Split by credit rating 00% inv. grade 46% AAA 2% AA 40% A 2% BBB 00% = USD 23bn Debt securities 67% Other asset classes 33% of which: 67% in General Insurance 29% in Global Life Split by country/region 4% Germany 20% U.S. 2% Spain 4% Netherlands 3% U.K. 3% France 3% Switzerland 3% Italy 53

54 Group Investments Split of total MBS/ABS of USD 22bn (3%) Group Investments USD 74bn (00%) includes: MBS/ABS: USD 22bn (3%) Market/Cost: 9% 98% inv. grade 93% AAA US MBS: USD 5.0bn (8.6%) Market/Cost: 92% 98% inv. grade; 97% AAA Debt securities 67% US ABS : USD 2.7bn (.7%) Market/Cost: 93% 99% inv. grade, 82% AAA e.g. Automobile and Credit Card ABS Other asset classes 33% As of March 3, 2009 US ABS in addition to the US MBS mentioned above UK MBS/ABS: USD 2.2bn (.3%) Market/Cost: 77% 98% inv. grade; 87% AAA Commercial MBS of USD 0.6bn (87% AAA) Whole Loan Residential MBS USD.2bn (93% AAA) German ABS: USD 0.3bn (0.2%) Market/Cost: 00% 00% inv. grade; 73% AAA and AA mostly German MBS ( Pfandbriefe ) Swiss MBS: USD 0.6bn (0.4%) Market/Cost: 00% 00% AAA 00% Swiss MBS ( Pfandbriefe ) 54

55 Group Investments Split of US MBS of USD 5.0bn (8.6%) Group Investments USD 74bn (00%) US-MBS: USD 5.0bn (8.6%) Market/Cost: 92% 98% inv. grade 97% AAA Debt securities 67% of which: US Agency MBS: USD 9.2bn (5.3%) Market/Cost: 04% 00% AAA USD 0.8bn backed by GNMA USD 8.4bn backed by FNMA and FHLMC As of March 3, 2009 Other asset classes 33% US Commercial MBS: USD 4.2bn (2.4%) Market/Cost: 80% 00% inv. grade 99% AAA US Whole Loan Residential MBS: USD.6bn (0.9%) Market/Cost: 75% 8% inv. grade 7% AAA 55