Analysts meeting 1 March 2007

Transcription

1 Analysts meeting 1 March 2007 Today s agenda Introduction Susan Holliday, Head IR Group results George Quinn, CFO Strategy update and outlook Jacques Aigrain, CEO Slide 2

2 Today s agenda Introduction Susan Holliday, Head IR Group results George Quinn, CFO Strategy update and outlook Jacques Aigrain, CEO Slide 3 Executive summary Excellent results Performance Quality Net income CHF 4.6 billion, up 98%, EPS of CHF Strong performance across all businesses Strong combined ratio of 90.4% in Property & Casualty 14% profit growth to CHF 1.5 billion in Life & Health 21% profit growth to CHF 0.5 billion in Financial Services Continued good investment performance, RoI 5.3% Shareholders equity, returns Shareholders equity up 27% to CHF 30.9 billion RoE 16.3%, up from 10.3% in Capital management Slide 4 Dividend proposal CHF 3.40 per share, up 36% Up to CHF 6 billion share buyback plan All and figures are based on US GAAP unless stated otherwise

3 Key figures Strong performance across the Group CHF bn, except for EPS and relative numbers Premiums earned Net income Earnings per share (EPS) Shareholders equity % 98% 81% 27% Non-life combined ratio, traditional 1 Life & Health return on operating revenues Financial Services return on total revenues Return on investments 2 Return on equity 114.1% 9.6% 8.1% 6.3% 10.3% 90.4% 10.0% 26.9% 5.3% 16.3% -23.7pts. 0.4pts. 18.8pts. -1.0pts. 6.0pts. Slide 5 1 Combined ratio includes unwind of discount excluding this effect, combined ratio is 89.6% 2 At average FX rates Group premiums Insurance Solutions adds significant growth to premium income in net earned premiums* Insurance Solutions share Premiums earned n.a. Non-life, traditional Reflects contribution from IS Non-life, non-traditional Life and health, traditional Admin Re SM Securitisations Premiums earned Decrease in volume reflects lower demand Contribution from IS as well as new life business in UK, US and Asia First year impacts of Successor (P&C) and ALPS (L&H) transactions Zurich, * Fee income 1 March from 2007policyholders is no longer included in net earned premiums following adoption of US GAAP Slide 6

4 Investments Return on investments of 5.3% in investment result* Gross investment income % Average running yield increased from 4.6% in to 4.8% in Net realised investment gains % Gains mainly from equities partially offset by cost of derivatives used to hedge equity and corporate bond portfolios Interest paid on cedant deposits % Mainly interest credited to third parties including impact from securitisation transactions Investment expenses % In line with the growth in assets under management Investment result % Higher fixed income yields offset by lower realised gains 4% 5% 6% Zurich, * At average 1 March FX 2007 rates; excluding assets held for linked liilities Slide 7 Investments Reported results include sizele FX remeasurement impacts in Invested assets Total investment result* Return on investments* CHF bn, except for relative figures % 5.3% +30% Growth due to Insurance Solutions acquisition in June (CHF 30bn) and GE Life UK in December (CHF 12bn) -7% Sizele remeasurement FX impacts in not repeated in Underlying investment result improved -1.0pts. RoI lower due to FX remeasurement gain in Zurich, * At average 1 March FX 2007 rates; excluding assets held for linked liilities Slide 8

5 % 0. 00% Property & Casualty Strong operating performance including Insurance Solutions and lower nat cats Premiums earned Operating income Combined ratio, traditional, except for relative figures % 90.4% Slide 9 Disciplined underwriting and focus on economic profit growth continued Insurance Solutions contributed CHF 2.5bn or 14% % Operating income increased due to strong performance across all lines and lower nat cat claims Investment result up 14% to CHF 3.6bn, reflecting overall portfolio growth +504% Strong contribution of Insurance Solutions (CHF 628m or 13%) -23.7pts. Continued good experience and strong price increases in property; significantly improved experience in liility Combined ratio for IS stand-alone: 98.2% Unwind of discount on Group combined ratio: 0.8pts. Lower than expected nat cat claims contributed 2.8pts. (CHF 496m) Property & Casualty traditional business Strong performance across the business P&C traditional combined ratios, except for combined ratios Property 111.2% Main drivers of change 70.1% Positive contribution from Insurance Solutions and lower incidence of natural catastrophes and man-made claims Operating income Liility 133.2% 105.9% Significant improvement in experience, especially in the US Motor 104.3% 102.8% Continued improvement despite higher than expected claims in Europe, particularly in France 352 Accident 95.3% 126.6% Strengthening of reserves for US workers comp 113 Specialty % 83.2% Improved performance in engineering and marine; continuing good results in aviation/space 945 Total 114.1% 89.6% Strong underlying performance Total 114.1% 90.4% Including unwind of discount and capital costs Analysts' 1 meeting Specialty includes marine, engineering, aviation, multilines and other Zurich, 2 1 March 2007 Including non-traditional business, operating income is CHF 5 016m Slide 10

6 % % % % 5. 00% 00% % 8.00% 7.00% 6.00% 5.00% 4.00% 3.00% 2.00% 1.00% 0.00% % % % % % % % % 00% Life & Health Continuing positive underlying performance Operating revenues Operating result Return on operating revenues CHF bn, except for relative figures % 10.0% +9% New life business written in the US, the UK and Asia Insurance Solutions contributed CHF 1.1bn or 7% +14% Solid performance in all lines of business +0.4pts. Strong 12.8% in Admin Re SM, reflecting good claims experience 9.2% in traditional portfolio, driven by excellent claims experience in health portfolio Slide 11 Financial Services Operating income up 21% Operating income Return on total revenues Combined ratio, traditional, except for relative figures % 81.2% 89.9% +21% 0. Strong underwriting performance in credit reinsurance Increased revenues in traded credit and insurance linked securities (ILS) Growth in third party asset management of 18% to CHF 85.4bn (mainly Conning) 8.1% Improved margins in trading business +18.8pts pts. Continued solid claims experience and stringent underwriting in Credit Solutions included a large favourle claims settlement agreement Slide 12

7 Shareholders equity Up 27% reflecting excellent earnings and IS acquisition in shareholders equity End Net income Dividends Net change in unrealised gains/losses on securities Foreign currency translation adjustments Additional Pensions/ paid-in capital other End Slide 13 Financial year Excellent overall results Net income up 98%, EPS of CHF RoE 16.3%, up from 10.3% in Property & Casualty traditional combined ratio 90.4%, Credit Solutions 89.9% Life & Health return on operating revenues 10.0%, up from 9.6% Financial Services return on total revenues 26.9%, up from 8.1% Continued strong investment performance, RoI of 5.3% Shareholders equity increased 27% to CHF 30.9 billion Slide 14 Proposed dividend of CHF 3.40 per share, 3 year share buyback/ cancellation programme up to CHF 6 billion

8 Today s agenda Introduction Susan Holliday, Head IR Group results George Quinn, CFO Strategy update and outlook Jacques Aigrain, CEO Slide 15 Our strategic direction Generate economic profit growth Reduce earnings volatility Enlarge market scope Advance organisational excellence Higher sustainle shareholder returns Best-in-class customer service Slide 16

9 Generate economic profit growth January 2007 renewals Highly successful outcome for Swiss Re Swiss Re s renewed portfolio increased 14% (incl. Insurance Solutions) with rates up 1% overall growth in economic profit of 21% 75% of Insurance Solutions non-life book retained to date (70% in January 2007 renewals, 91% in July renewals) Continuing attractive market conditions with industry focused on return on capital employed Total traditional portfolio 120% 100% 80% 60% 40% 20% 0% CHF 9.0bn 100% -4% -20% 76% 4% 16% 14% 4% This represents 6% increase on the renewed block, comprising: Rates 1% in share 3% Exposure growth 2% CHF 10.3bn 114% Total renewle Pending Cancelled or replaced Renewed Increase on renewal New business/ replacement Insurance Solutions Pending Estimated outcome Slide 17 All renewal figures are estimated and calculated at constant foreign exchange rates Generate economic profit growth Admin Re SM GE Life UK largest transaction to date GBP 471m acquisition of GE s direct UK life operations completed December largest Admin Re SM transaction to date policies with total assets of GBP 8bn annual recurring premium volume of approx. GBP 100m; in addition single premium new business volume of GBP 750m provides further scale and infrastructure for Admin Re SM in the UK Strong pipeline for further Admin Re SM opportunities particularly in the US and UK Invested assets, except for relative figures Operating result Return on operating revenues % 11.0% 10.2% 12.8% 12.0% % Slide Capital invested % 0.0%

10 Reduce earnings volatility Hedging expanded from capital to earnings protection Earnings volatility events USD m Hurricane NORTH ATLANTIC Windstorm EUROPE Earthquake CALIFORNIA Earthquake JAPAN Return period 25 yrs 25 yrs 50 yrs 50 yrs Market loss Est. Swiss Re gross claims Est. claims hedge effect Est. net claims Claims exceeding these figures are considered as extreme claims Winter storm Kyrill Swiss Re expects winter storm Kyrill to produce estimated net claims of EUR 140m (estimated gross claims EUR 220m) Slide 19 Reduce earnings volatility Equity and credit exposure hedging Increased portfolio protection against stress scenarios Traded equities CHF bn Credit product CHF bn Market values Net, stress test loss Market values Net, stress test loss Slide 20 The net stress test loss is based on a 30% fall in traded equity markets with a simultaneous increase in volatility for Swiss Re s tradele equities The net stress loss shows the impact of the widening of credit spreads based on the experience over the past 15 years

11 Enlarge market scope Attractive opportunities for growth Commercial insurance Market US market volume Swiss Re market share Swiss Re Premium volume Combined ratio USD USD 72bn* 1.1% 0.8bn 95% Prospects Significant growth in premiums over the cycle should be possible Swiss Re s current target growth segments: Property, excess & surplus lines and professional liility Main territorial business focus: USA and Canada Swiss Re is a leader in the professional groups agents and lawyers and actively pursuing additional professional groups Considerle cross-selling opportunities such as large corporate clients Slide 21 * Represents segments where Swiss Re pursues business opportunities; total US Commercial Insurance market approx. USD 260bn, Canada approx, USD 6bn Enlarge market scope Attractive opportunities for growth Varile annuity reinsurance US premium volume (in USD bn) Strong growth in the market driven by demographic changes 300 Swiss Re s unique position Expertise in risk transfer and capital markets + Leadership in Life & Health reinsurance E Unique integrated product capility Prospects Client markets, Products and Financial Services divisions together structure individual solutions to meet client needs Significant demand driven by demographic factors and from clients seeking to address capital efficiency, rating agency issues and internal risk management Treaties written and requests for coverage: in Japan and the US, with potential to develop in Europe and Zurich, Asia 1 March 2007 Slide 22

12 Enlarge market scope Further growth opportunities Health protection in emerging markets 26% stake in TTK Healthcare Services in India acquired in December Nat cat protection for governments and NGOs Swiss Re structured and placed a transaction to allow access to the capital markets and a new source of capacity for the Mexico Natural Disaster Fund United Mexican States CAT-Mex Ltd. $160mm Principal At-Risk Varile Rate Notes Sole Manager Expansion in engineering, weather, agricultural and marine Combination of IS market position and Swiss Re capital markets expertise provides strong growth opportunity Credit in emerging markets High demand for trade finance, corporate credit solutions and credit and surety business Slide 23 Generate economic profit growth Reduce earnings volatility Enlarge market scope Advance organisational excellence Insurance Solutions acquisition Success story with full positive impact still to come Fit 109 of 136 former IS key people (first/second management level) joined Swiss Re, including two at Executive Board level Complementary strengths and diversification of client base and portfolio (critical illness, health, commercial insurance, engineering, etc.) Growth In 6 1/2 months, IS contributed CHF 3.5 billion to premiums earned in 75% of non-life and 98% of life and health book retained to date Value creation Stand-alone combined ratio 98.2% for period 9 June to 31 Dec Total cost of investment USD 8.8 billion, limited goodwill of USD 1.3 billion, strong profit contribution already in (CHF 764 million operating income contribution) IS acquisition accretive to EPS and RoE as from 2007, the first full year after closing Slide 24

13 Advance organisational excellence Higher cost synergies and lower restructuring costs than planned Estimated cost synergies and restructuring costs, pre-tax Cost synergies > Estimated cost synergies of at least CHF 460m (previously CHF 390m) pre-tax p.a. anticipated to be fully realised by end 2008 Total one-time restructuring cost below original estimate of CHF 325m CHF 210m in, less than CHF 50m expected in 2007 Global IT cost savings of CHF 42m: consolidation of data centres, infrastructure harmonisation, reduction of contractors, services migration Offices consolidated in North America, Europe and Asia: Restructuring costs Insurance Solutions offices Swiss Re offices Analysts' 0 meeting <50 Zurich, 1 March Slide Jun 06 1 Jan 07 1 Jan 08 Our strategic direction Generate economic profit growth Reduce earnings volatility Enlarge market scope Advance organisational excellence Active capital management Higher sustainle shareholder returns Best-in-class customer service Slide 26

14 Capital management Dividend and capital management Swiss Re is focused on delivering a sustainle dividend and active capital management while maintaining superior capital adequacy and credit ratings Planned capital management actions reflect: Very strong operating performance and balance sheet in Continued commitment to underwriting discipline Initial successful steps in streamlining Swiss Re s legal entity structure including: GE Re merged into Swiss Re America Part VII transfer in UK to combine IS portfolio with SR Swiss Re Italia merged into Italian Branch of SRZ Additional legal entity simplification planned during 2007 and 2008 Slide 27 Capital management Proposed capital management actions and dividend policy Dividend Proposed dividend of CHF 3.40 per share Dividend payment growth to reflect progress on sustainle earnings Buyback Multi-year buyback/cancellation plan of up to CHF 6 billion within a three year period to improve capital efficiency Swiss Re waives the GE lock-up from 1 March through 9 March 2007 Subject to market conditions Swiss Re agrees to repurchase 50% of GE s stake in conjunction with an accelerated book build for the remainder of the stake Slide 28

15 Outlook Over the cycle targets EPS growth 10% RoE 13% Fundamentals for 2007 remain strong Swiss Re will profit from growth provided by first year full inclusion of Insurance Solutions and GE Life UK Swiss Re will seize opportunities in Admin Re SM to put capital to work at attractive rates of return Swiss Re will continue to actively address client needs by developing new products in areas such as varile annuities, health, longevity, and engineering Developments in European regulatory framework, including EU Reinsurance Directive and Solvency II, will create new opportunities for strongly capitalised reinsurers like Swiss Re Swiss Re remains committed to delivering economic profit growth by maintaining strict underwriting discipline and by actively hedging its financial markets and cat exposures Slide 29 Appendix Slide 30

16 Group income statement constant FX Revenues Premiums earned Fee income Net investment income Net realised investment gains Trading revenues Other revenues Total revenues % 0% 14% - 44% 89% -1% 6% 8% -1% 12% -45% 87% -2% 5% Expenses Claims and claim adjustment expenses; L&H benefits Interest credited to policyholders Acquisition costs Other operating costs and expenses Total expenses % -6% 3% 33% -3% -10% -8% 1% 32% -4% Income before tax expense Income tax expense Net income % 408% 98% 124% n.a. n.a. Slide 31 income statement Business segment results Group income statement by business segments Property & Casualty Life & Health Financial Services Other Total Revenues Premiums earned Fee income Net investment income Net realised investment gains/losses Trading revenues Other revenues Total revenues Expenses Claims and claim adjustment expenses & L&H benefits Interest credited to policyholders Acquisition costs Other operating costs and expenses Total expenses Income/loss before tax expense Analysts' Income tax meeting expense Zurich, Net income 1 March Slide 32

17 Other operating costs/expenses Corporate Centre & other costs Group function expenses Financing expenses Restructuring expense Indirect and other taxes Other expenses Other operating costs and expenses % 60% 550% 28% 131% 36% Slide 33 Property & Casualty income statement Operating income up 504% constant FX Revenues Premiums earned Net investment income Net realised investment gains Trading revenues Fees, commissions and other revenues Total revenues % 45% -37% -85% 61% 8% 6% 43% -37% -85% 61% 7% Expenses Claims and claim adjustment expenses Acquisition costs Other operating costs and expenses Total expenses % 1% 49% -14% -22% 0% 48% -15% Operating income % 485% Slide 34 Key figures (traditional business only) Claims ratio in % Expense ratio in % Combined ratio in % Combined ratio excl. unwind of discount 89.3% 24.8% 114.1% 114.1% 64.1% 26.3% 90.4% 89.6% -25.2pts. 1.5pts pts pts. n.a. n.a. n.a. n.a.

18 Property & Casualty Shift to property non-traditional reduced Premiums earned by line of business 9% 17% 5% 13% 25% 3% 19% 6% 11% 26% Non-traditional Specialty Accident Motor Liility Property The reduction in non-traditional business due to continuing lower demand has increased all the traditional weightings Property and specialty also benefited from strong rate increases in nat cat Good contribution from Insurance Solutions for property and liility 31% 35% Premiums earned Slide 35 Property & Casualty Insurance Solutions increases direct and non-proportional portfolio weightings Premiums by type of business Treaty year 24% 26% 31% 33% Facultative/direct Non-proportional Proportional Proportional split for Swiss Re book stle IS added significant volumes of direct business through Commercial Insurance The IS treaty portfolio is weighted towards non-proportional covers Overall effect is to reduce the proportional treaty segment 45% 41% Slide 36 Based on treaty year premiums ( estimated), traditional business only

19 Swiss Re s catastrophe perils hedging has grown further Hedging instruments CHF bn 4 3 Industry loss warranties (ILW) and Derivatives Insurance linked securities (e.g. Successor, Australis) Swaps 2 Retro 1 Slide 37 Jul 99 Jul 00 Jul 01 Jul 02 Jul 03 Jul 04 Jul 05 Jul 06 Jan 07 US onshore hurricane Exposure and protection of Swiss Re Premiums by type of business Treaty year Hedging* Loss for Swiss Re Substantial protection exists throughout the risk spectrum 0.5% Loss probility USD150bn Industry loss Protection is twofold: low attaching protection against severe earnings volatility through ILS, ILW and retrocession medium to high attaching hedging for capital protection through ILS, retrocession and risk swaps Slide 38 18% USD20bn 0% 50% 100% * Expected pattern as of June 2007; data includes assumptions out the basis risk between inwards indemnity covers and outwards hedging based on parametric or market loss triggers.

20 Property & Casualty Positive net reserve development of CHF 100 million Reserve development since , Slide 39-1,250-1, Loss development tle Net claim reserves and re-estimates illions Claim reserves as of year later years later years later Current reserves 4years later plus payments since 5years later original reporting 6years later year 7years later years later years later years later Surplus / (deficiency) Analysts' As a percent meeting of original reserves Slide As a percent of original reserves 18.0% 18.3% 8.7% 5.3% -1.5% 0.6% -11.5% -8.3% -7.9% 3.8% Excluding foreign exchange: Surplus / (deficiency) Original reporting year % 16.9% 9.9% -3.0% -11.8% -14.8% -15.1% -7.2% -1.2% 0.9%

21 Loss development tle Net claim reserves and payments illions Claim reserves as of year later 2years later 3years later Paid claims and LAE 4years later (cumulative) in respect 5years later of losses prior to 6years later as of 7years later 8years later 9years later 10 years later Original reporting year Cumulative pay-outs as of % 62.8% 66.7% 67.4% 67.3% 59.0% 56.0% 44.9% 34.4% 18.6% Slide 41 LAE = Loss adjustment expenses Loss development tle GAAP perspective Loss development tle surplus (deficiency) as published -400 Less impact of late reported premiums and commissions 0 Less impact of minor accounting changes () -16 Less non-traditional business (partially offset with investment income) 21 Less unwind of discount (offset with investment income) 107 Net impact on GAAP results Slide 42

22 Asbestos & Environmental reserves Continuing low significance Asbestos & Environmental (A&E) reserve development Year end Net A&E reserves Total net nonlife reserves total A&E as % of reserves 3.1% 2.4% 2.8% 3.5% 4.6% 5.3% 6.9% Total net reserves* A&E as % of total reserves % % 1.4% 1.8% 2.3% 2.7% 3.7% Slide 43 * Unpaid claims and claim adjustment expenses and life and health policy benefits Life & Health income statement Operating result up 14% constant FX Revenues Premiums earned Fee income Net investment income Net realised investment gains Total revenues % 0% -1% -15% 6% 12% -1% -3% -17% 5% Expenses Claims and claim adjustment expenses; L&H benefits Interest credited to policyholders Acquisition costs Other operating costs and expenses Total expenses % -6% 2% 26% 7% 9% -8% 0% 24% 5% Operating income Operating result, ex. non-participating net realised investment gains % 14% 0% 11% Management expense ratio in % Return on operating revenues in % 5.5% 9.6% 6.3% 10.0% 0.8pts. 0.4pts. n.a. n.a. Slide 44

23 Life & Health Higher returns in Admin Re SM more than offset lower traditional returns Traditional Admin Re SM Revenues Premiums earned Fee income Net investment income Net realised investment gains Total revenues % 12% 9% 63% 18% % -1% -8% -35% -15% Expenses Claims and claim adjustment expenses; L&H benefits Interest credited to policyholders Acquisition costs Other operating costs and expenses Total expenses % 71% 10% 46% 18% % -16% -61% -2% -15% Operating income % % Operating result, excl. non-participating net realised inv. gains Management expense ratio Analysts' Return on meeting operating revenues % 9.4% % 9.2% 13% 1.2pts. -0.2pts % 10.2% % 12.8% 15% 0.7pts. 2.6pts. Slide 45 Life & Health Insurance Solutions leads to strong European growth Premiums earned and fee income Total % 8% 23% 31% 18% 15% Rest of World Europe SM Admin Re North America traditional 50% 46% Slide 46

24 Financial Services income statement Operating income up 21% constant FX Revenues Premiums earned Net investment income Net realised investment gains Trading revenues Other revenues Total revenues % -7% -7% 80% -16% 26% 20% -9% -7% 78% -17% 24% Expenses Claims and claim adjustment expenses Acquisition costs Operating costs Total expenses % 23% 16% 27% 50% 22% 15% 26% Operating income % 19% Slide 47 Credit Solutions: combined ratio, trad (in %) Fee business: return on total revenues (in %) excluding proprietary asset management 81.2% 8.1% 89.9% 26.9% 8.7pts. 18.8pts. n.a. n.a. Capital Management and Advisory Back testing of trading Value-at-Risk CMA risk is captured in disclosed Group risk figures Risk appetite was well controlled during the year Results were well within VaR and stress tolerances Slide 48

25 Net investment income grew 14% Fixed income Equities % 52% Other asset classes Investment expenses Interest paid on cedant deposits % 28% 92% Assets held for linked liilities Net investment income % 14% Net investment income increased 14% to CHF 7.0 billion. Due to active duration management, Swiss Re s running yield on its large fixed income portfolios increased from 4.6% in to 4.8% in Slide 49 Lower realised gains Fixed income Equities Other Assets held for linked liilities Foreign exchange remeasurement and desginated trading portfolios* Total net realised investment gains % 50% n.a. -6% n.a. -44% Slide 50 Net realised investment gains decreased to CHF 1.9bn benefited from a sizele sale of BBB-rated corporate bonds Other includes costs of derivatives used to hedge equity and corporate bond portfolios against potential large declines in equity markets or widening of spreads as well as from reinsurance derivatives to protect against large nat cats Foreign exchange and mark-to-market on trading securities reversed in after large unrealised FX gains in * The designated trading portfolios are foreign currency denominated trading fixed income securities which back certain foreign currency denominated liilities

26 Return on investments calculation at avg FX at avg FX Investment result excl. linked Adjustments Investment result (basis for RoI) Total investments (as defined in the balance sheet) Assets held for linked liilities Cash and cash equivalents Funds held by ceding companies Funds held under reinsurance treaties Other adjustments Invested assets Average invested assets 3 Return on investments % % Slide 51 1 Income from current cash accounts, reinsurance derivatives, participating business and other adjustments 2 GE Life UK, participating business and other adjustments 3 Average assets are calculated as opening balance plus one half of the net asset turnover at average foreign exchange rates Net unrealised gains, pre-tax Total 4 380* 4 198* Other Real estate Fixed income Equities On BS Off BS On BS Off BS Slide 52 Net unrealised gains on fixed income fell due to rising interest rates, while net unrealised gains on equities rose with the strong equity markets * Excluding assets held for linked liilities

27 Strong investment portfolio Growth of 34% CHF bn Balance sheet values of which assets held for linked liilities Fixed income Equities Other investments Real estate Cash and cash equivalents The investment portfolio grew 34%, from CHF 139bn at year end to CHF 186bn, due to the GE Insurance Solutions and GE Life UK acquisitions Slide 53 Fixed income Active duration management translates into higher yields Interest rates and durations Yields US gvt bonds Duration of portfolios 5.1% % % % % % % % % 0.0 Dec 05 Mar 06 June 06 Sep-06 Dec 06 Bond yields rose over the course of in the major bond markets Swiss Re successfully captured market movements by actively managing the duration Average running yield on Swiss Re s portfolio increased from 4.6% to 4.8% Net unrealised gains of CHF 2.2bn at the end of decreased to CHF 1.0bn at the end of Duration total return portfolio (RHS) Duration L&H portfolio (RHS) 5-year US govt bonds (LHS) Slide 54

28 Excellent credit quality of corporate bonds Gross exposure as of 31 December Gross exposure as of 31 December B 3% BB 4% NR 1% AAA 8% AA 7% BB 2% B 2% NR 3% AAA 13% BBB 35% BBB 23% AA 16% A 42% A 41% In, the Group purchased credit default swaps on investment grade indices with the majority of the protection acquired in the A and BBB ratings. The net effect of the hedges was to reduce Swiss Re s stress test exposure to Analysts' widening meeting credit spreads from a gross impact of CHF 1.4bn on average in to a net impact of CHF 1.2bn Slide 55 Return on equity calculation Return on equity calculation Net income Opening equity Closing equity Time weighted capital increase Time weighted average equity % 19% 27% 100% 25% Return on equity 10.3% 16.3% 6.0pts. Slide 56

29 Swiss Re s effective capital management Senior long-term financial debt Hybrid capital Mandatory convertibles Shareholders' equity Hybrid to total capital Senior financial debt to total capital CHF bn % 30% 25% 20% 15% 10% 5% 0% Swiss Re s value proposition includes commitment to prudent capital management At the same time financial flexibility and capital efficiency continue to improve over time Senior debt / total capital 11.0% 9.9% 6.2% 4.1% 2.4% 2.3% Slide 57 Hybrid / total capital 12.8% 15.5% 14.4% 13.1% 10.8% 13.8% Internal capital adequacy further strengthened Comparison of capital requirement measures 99% Shortfall (Tail VaR) 99.5% VaR 99% VaR 400% 359% 300% 329% 291% 200% 211% 255% 239% 100% Slide 58 0% Mid Mid

30 Capital required and capital availle Base capital requirement using one year 99% VaR CHF bn Property and casualty Life and health Financial market Credit Funding and liquidity Diversification effect Swiss Re Group required capital Mid Mid % 39% -7% 13% -100% 30% 14% Calculation of availle capital CHF bn Shareholders equity Market-to-market adjustments Goodwill and intangibles Equalisation reserves P&C and L&H valuation adjustments Hybrid capital Tax and other Swiss Re Group availle capital Mid Mid % -117% 81% 8% 45% 84% 19% 25% Slide 59 All figures are based on Swiss GAAP Power of diversification Swiss Re most diversified reinsurer Geographic split of gross premiums written and fees assessed against policyholders; total of CHF 32.8bn as of end Slide 60 RoW Non-life 17% Europe L&H 10% Europe Non-life 25% RoW L&H 3% North America Non-life, 18% North America L&H 27% RoW Non-life 24% Europe L&H 11% RoW L&H 3% Europe Non-life 17% North America Non-life, 18% North America L&H 27% Insurance Solutions provides further diversification of client base and portfolio Non-life: Near doubling of attractive US Regional & Specialty clients; high market share in specialty, e.g. aviation, marine, agro Life & Health: Higher market share in Europe, particularly Germany and UK

31 Expected natural catastrophe premiums and claims Nat cat premiums and claims in excess of CHF 20 million CHF bn Expected net premiums Expected claims Figures are for all catastrophe perils inclusive of Insurance Solutions portfolio on an annualised basis net of estimated hedging impacts (cat bonds, industry loss warranties, retrocessions) Slide 61 Earnings and book value per share Earnings per share 2004 to Book value per share 2004 to in CHF CAGR 29.9% in CHF CAGR 14.1% Slide 62

32 Premiums for 20 largest markets Gross premiums written and fees assessed against policyholders by country* Slide 63 USA UK Germany Canada France Switzerland Australia Italy Spain Netherlands Japan Ireland Austria China Denmark Bermuda South Korea South Africa Mexico Israel Other Total Life Non-Life * Country split based on the country where the premium was generated or an approximation thereof Total Exchange rates CAD 4% Geographic gross premiums written split in main currencies Other 14% Average rates Factual Interim Factual USD/CHF EUR/CHF GBP/CHF CAD/CHF GBP 8% USD 53% Factual /Factual Interim /Factual 0.81% -1.57% 1.29% 0.64% 1.77% 1.32% 7.77% -0.89% EUR 21% Closing rates Factual Interim Factual USD/CHF EUR/CHF GBP/CHF CAD/CHF Factual /Factual Interim /Factual -7.58% -0.81% 3.87% 2.55% 5.75% 5.29% -7.08% -4.55% Slide 64

33 Corporate calendar 3 April 2007 Life & Health Embedded Value 20 April rd Annual General Meeting 8 May 2007 First quarter 2007 results 7 August 2007 Second quarter 2007 results 6 November 2007 Third quarter 2007 results 11 December 2007 Investors day Slide 65 Investor Relations contacts Hotline Susan Holliday Andreas Leu Rolf Winter investor_relations@swissre.com Slide 66

34 Cautionary note on forward-looking statements Certain statements and illustrations contained herein are forward-looking. These statements and illustrations provide current expectations of future events based on certain assumptions and include any statement that does not directly relate to a historical fact or current fact. Forward-looking statements typically are identified by words or phrases such as "anticipate", "assume", "believe", "continue", "estimate", "expect", "foresee", "intend", "may increase" and "may fluctuate" and similar expressions or by future or conditional verbs such as "will", "should", "would" and "could". These forward-looking statements involve known and unknown risks, uncertainties and other factors, which may cause Swiss Re's actual results, performance, achievements or prospects to be materially different from any future results, performance, achievements or prospects expressed or implied by such statements. Such factors include, among others: the impact of significant investments, acquisitions or dispositions, and any delays, unexpected costs or other issues experienced in connection with any such transactions, including, in the case of acquisitions, issues arising in connection with integrating acquired operations; cyclicality of the reinsurance industry; changes in general economic conditions, particularly in our core markets; uncertainties in estimating reserves; the performance of financial markets; expected changes in our investment results as a result of the changed composition of our invested assets or changes in our investment policy; the frequency, severity and development of insured claim events; acts of terrorism and acts of war; mortality and morbidity experience; policy renewal and lapse rates; changes in rating agency policies or practices; the lowering or withdrawal of one or more of the financial strength or credit ratings of one or more of our subsidiaries; changes in levels of interest rates; political risks in the countries in which we operate or in which we insure risks; extraordinary events affecting our clients, such as bankruptcies and liquidations; risks associated with implementing our business strategies; changes in currency exchange rates; changes in laws and regulations, including changes in accounting standards and taxation requirements; and changes in competitive pressures. These factors are not exhaustive. We operate in a continually changing environment and new risks emerge continually. Readers are cautioned not to place undue reliance on forward-looking statements. We undertake no obligation to publicly revise or update any forward-looking statements, whether as a result of new information, future events or otherwise. Slide 67