EVM methodology An integrated economic valuation and accounting framework for business planning, pricing, reserving, and steering Shows direct connection between risk taking and value creation Provides consistent economic framework for evaluating risk taking outcomes and capital management decisions Enables comparing economic returns across businesses and product lines for capital allocation decisions on a risk-adjusted basis Key features Market consistent valuation of all assets and liabilities Exclusion of potential future new business (closed book approach) Recognition of all profits on new business at inception and of changes in estimates as they occur Best estimates of future projected cash flows on a discounted basis Performance is after capital costs Segregation between underwriting and investment activities Segmentation of P&C Re, L&H Re, Corporate Solutions and Admin Re balance sheet and income statement consistent with US GAAP methodology 2
2013 EVM financial highlights Strong investment and underwriting performance Significant 16% increase in EVM premiums and fees, USD 36.7bn EVM profit USD 4.0bn Excellent new business profit of USD 2.2bn, driven by higher volumes in P&C Re and L&H Re and organic growth in Corporate Solutions Strong investment profit of USD 1.3bn, with gains in equity, alternative investments and fixed income Previous years' business profit of USD 0.5bn, driven by positive reserve development in P&C Re and Corporate Solutions, partially offset by the recapture of US life business, negative development in post-level term (PLT) business in the US, and reserve strengthening for Group disability business in Australia EVM income USD 6.3bn Increase of USD 1.1bn compared to 2012 Economic net worth increased by 9.6% to USD 37.2bn Economic net worth per share USD 108.67 (2012: USD 98.87) 3
EVM key figures illion, unless otherwise stated P&C Re L&H Re Corporate Solutions Admin Re Group items Total FY 2013 Total FY 2012 Premiums and fees 16 061 17 137 3 462 36 660 31 707 EVM income 4 801-619 610 1 082 465 6 339 5 218 EVM profit (loss) 3 568-295 581 233-80 4 007 4 152 of which new business 1 706 565 154-129 -47 2 249 2 000 of which previous years' business 918-779 203 82 72 496 538 of which investment activities 944-81 224 280-105 1 262 1 614 New business profit margin 17.5% 4.9% 7.6% n/a n/a 9.6% 13.8% New business EROC 20.9% 12.7% 13.7% n/a n/a 15.3% 19.3% P&C Re L&H Re Corporate Solutions Admin Re Economic net worth (ENW) 1 17 209 8 945 3 860 4 812 4 829 37 188 33 928 Economic net worth per share 108.67 98.87 Group items 1 Total Economic Net Worth is after consolidation adjustments 4
P&C Reinsurance Continued strong underwriting performance PV new business premiums and fees +10% EVM profit a New business profit margin % +0.2pts 14 562 16 061 3 568 17.5% 2 588 17.3% Premium growth was mainly driven by the expiry of a major quota share retrocession agreement at the end of 2012 The increase was partially offset by reduced cessions on large quota share transactions in Europe New business profit USD 1.7bn due to strong underwriting performance Previous years' business profit USD 0.9bn, driven by favourable reserve development Investment profit USD 0.9bn, driven by gains from the overall short position as interest rates increased, gains from credit investments as spreads tightened and gains from equities as global markets rose New business profit margin reflects strong underwriting performance 5
L&H Reinsurance Strong new business growth PV new business premiums and fees EVM profit As New business profit margin +20% -5.5pts % 14 301 17 137 1 017 10.4% 4.9% Increase in premiums and fees, due to new large transactions The increase was partially offset by large longevity deals in 2012 which were not repeated in 2013-295 New business profit USD 0.6bn, mainly driven by Life business Previous years' business loss of USD 0.8bn, due to the recapture of US life business, assumption changes for PLT business in the US and reserve strengthening for Group disability business in Australia Investment loss of USD 0.1bn, driven by rising interest rates on the overall long duration position Profit margin decreased due to higher capital requirements of new large transactions 6
Corporate Solutions Continued profitable growth PV new business premiums and fees +40% EVM profit A New business profit margin % +0.4pts 3 462 581 7.6% 2 465 Continued growth across most lines of business Gross premium 1 increased 13% to USD 3.9bn in 2013 Strategy to attain USD 4 5bn of gross premiums by 2015 is on track 292 New business profit USD 154m Previous years' business profit USD 203m, driven by favourable reserve development and lower regulatory capital requirements Investment profit USD 224m, driven by gains in credit and equities, including insurance derivative accounted business EVM Profit on basis of TFC 2 to Swiss Re Group USD 548m 7.2% New business profit margin improved mainly due to quality of business growth 1 Present value of premiums and fees before reinsurance 2 Estimated total financial contribution (TFC) of Corporate Solutions business written within Swiss Re Group and includes development of historic loss reserves remaining in Reinsurance for the previous years' business profit 7
Admin Re Strong investment performance PV new business premiums and fees EVM profit Gross cash generation (GCG) 1-56.4% 1 196 379 233 804 FY 2012 0 FY 2013 No premiums and fees in 2013 as no new transactions were executed in the year 2012 result was driven by two large UK longevity transactions, largely retroceded to L&H Re 112 EVM profit mainly driven by strong investment result in credit as spreads tightened, and favourable mortality assumption changes 392 521 USD 357m dividends paid to the Group in 2013 2013 GCG of USD 521m includes USD 120m from business transfer to L&H Re Prior year included USD 804m cash proceeds and release of capital related to sale of Admin Re US business 1 Gross cash generation (GCG) is the change in excess capital over and above the target capital position 8
Investment activities Strong performance in 2013 Outperformance -10% EVM profit EVM income -10% 4 022 3 605 1 614 1 262 2 980 2 679 Positive performance on equities and alternative investments as well as fixed income investments. Equity markets rallied in 2013 while credit spreads tightened Overall short duration position led to actual assets further outperforming the liabilitybased benchmark in an environment of increasing interest rates Result was driven by gains in equities and alternative investments as global markets rallied, and credit investments as spreads tightened Overall short position resulted in net gain as interest rates increased Positive EVM income as equity markets rallied, credit spreads tightened and risk free rates increased while assets were positioned short EVM income down by 10% mainly due to less credit spread tightening in 2013 than in 2012 9
Economic net worth (ENW) Strong increase driven by EVM income 42 000 38 000 34 000 33 928 298 6 339-2 760-617 37 188 30 000 26 000 22 000 ENW 31 Dec 2012 Changes in EVM accounting principles EVM income Dividends Other ENW 31 Dec 2013 Changes in accounting principles related to revised methodology for the EVM valuation of tax assets and liabilities "Other" includes foreign exchange translation gains and losses, and movements in treasury shares 10
Reconciliation EVM economic net worth to US GAAP shareholders' equity Total Reinsurance P&C Re L&H Re Solutions Re items consolidation) Corporate Admin Group (after USD billions US GAAP shareholders equity at 31 Dec 2013 19.5 13.3 6.2 2.8 5.8 4.9 33.0 Discounting 7.3 6.0 1.3 0.5-1.1 0.0 4.3 Mark-to-market on assets and debt -0.2 1.6-1.8 0.0 0.0 0.4 0.2 Reserving basis GAAP margins 12.4 0.0 12.4 0.0 1.1 0.0 13.5 Other 0.9 0.8 0.1 0.9-0.8-0.5 0.5 Recognition differences 0.0-0.2 0.2 0.0 0.4 0.0 0.4 Goodwill and other intangibles -4.2-2.2-2.0-0.1 0.0-0.2-4.5 Additional tax liability -2.7-1.2-1.5-0.3 0.2 0.1-2.7 Other -0.3-0.4 0.1 0.2 0.0 0.1 0.0 Frictional capital costs -6.6-0.5-6.1-0.1-0.8 0.0-7.5 Economic net worth at 31 Dec 2013 26.1 17.2 8.9 3.9 4.8 4.8 37.2 Additional discounting compared to US GAAP increased in 2013 driven by higher risk free interest rates Lower US GAAP margins mainly driven by the impact of business recaptured in the first quarter 2013 ENW of Admin Re lower than US GAAP equity mainly due to lower discount rates in EVM for liabilities compared to the locked-in discount rates under US GAAP 11
Group financial targets On track ROE 700 bps above risk free average over 5 years (2011-2015) EPS growth 10% average annual growth rate, adjusted for special dividends 1 ENW per share growth plus dividends 10% avg. annual growth rate over 5 years in % 13.4 13.7 in USD 2 11.9 13.0 in USD 2 +5% +10% 98.7 108.5 119.4 123.1 144.5 9.2 9.6 8.5 7.8 8.2 6.6 7.7 7.3 8.0 8.4 9.7 89.7 87.8 105.2 3 2010 2011 2012 2013 2014E avg. 2011-2015E = reported ROE = 700 bps above US Gov 5 years 3 2010 2011 2012 2013 2014E 2015E = reported EPS = EPS @10% avg. annual growth (base: 2010), adjusted for special dividends 1 2010 2011 2012 2013 2014E 2015E = reported ENWPS including cumulative dividends in USD 4 = ENWPS @ 10% avg. annual growth (base: 2010) Delivering the 2011-2015 financial targets remains Swiss Re's top priority 1 Target EPS growth rate has been adjusted from 10% to 5% for 2014 to account for the proposed CHF 4.15 per share special dividend (approx USD 1.6bn) expected to be distributed in April 2014. Methodology is in line with the approach taken for the special dividend of CHF 4.00 per share paid in April 2013. 2 Assumes constant foreign exchange rate 3 Excl. CPCI 4 Cumulative dividends included in ENW per share were translated from CHF to USD using the fx rate of the dividend payment date; dividends included for 2011: USD 3.1 (CHF 2.75), 2012: USD 6.4 (CHF 3.00, or USD 3.3, in addition to the 2011 dividend), 2013: USD 14.5 (CHF 7.50, or USD 8.05, in addition to the 2011 and 2012 dividends) 12
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EVM segmental income statement 2013 Reinsurance P&C Re L&H Re Corporate Solutions illions Total Underwriting result New business result Premium and fees 33 198 16 061 17 137 3 462 36 660 Claims and benefits -20 537-9 192-11 345-1 880-22 417 Commissions -6 210-3 103-3 107-498 -6 708 Expenses -2 192-1 285-907 -708-143 -47-3 090 Taxes -822-482 -340-105 14-913 Capital costs -1 093-268 -825-112 -2-1 207 Other -73-25 -48-5 2-76 New business profit (loss) 2 271 1 706 565 154-129 -47 2 249 Previous years' business profit (loss) 139 918-779 203 82 72 496 Underwriting profit (loss) 2 410 2 624-214 357-47 25 2 745 Investment result Outperformance (underperformance) 2 375 1 965 410 393 742 95 3 605 Expenses -195-115 -80-26 -40-70 -331 Taxes -471-397 -74-78 -151-6 -706 Capital costs -911-554 -357-69 -281-124 -1 385 Other 65 45 20 4 10 79 Investment profit (loss) 863 944-81 224 280-105 1 262 EVM profit (loss) 3 273 3 568-295 581 233-80 4 007 Change in market value of debt -984-707 -277-21 -1 005 Release of current year capital costs 1 815 960 855 195 406 132 2 548 Additional taxes 78 980-902 -166 443 434 789 EVM income 4 182 4 801-619 610 1 082 465 6 339 Admin Re Group items 14
EVM balance sheet 2013 31 December 2013, illions Reinsurance P&C Re L&H Re Corporate Solutions Admin Re Group items Consolidation Assets Investments 94 805 54 073 40 732 7 370 55 980 7 691-4 836 161 010 Cash and cash equivalents 5 453 5 288 165 562 1 759 309 8 083 In-force business assets 173 667 11 386 162 281 2 213 10 849 2-9 478 177 253 External retrocession assets 32 895 6 207 26 688 5 865 8 642-13 629 33 773 Other assets 5 617 4 216 1 401 310 475 115-3 769 2 748 Total assets 312 437 81 170 231 267 16 320 77 705 8 117-31 712 382 867 Liabilities In-force business liabilities 211 115 47 243 163 872 11 130 61 256 529-11 538 272 492 External retrocession liabilities 29 078 1 699 27 379 279 9 271-9 478 29 150 Provision for capital costs 6 754 910 5 844 191 799 1 376 8 121 Future income tax liability 4 405 1 295 3 110 455 608-163 5 305 Debt 22 355 6 077 16 278 660 1 284-3 264 21 035 Other liabilities 12 576 6 737 5 839 405 299 1 637-5 341 9 576 Total liabilities 286 283 63 961 222 322 12 460 72 893 3 288-29 245 345 679 Total Economic net worth (ENW) 26 154 17 209 8 945 3 860 4 812 4 829-2 467 37 188 15
MCEV and EVM 2013 comparison MCEV recognises higher value than EVM USD bn 45 40 4.8 0.7 0.4 43.1 35 37.2 30 25 20 Economic net worth 31 Dec 2013 Differences Differences Non-Life Life business1 business1 Other differences MCEV 31 Dec 2013 (estimate) MCEV uses swap yield curves are used as reference rates, compared to government rates in EVM No credit for liquidity premiums is reflected in either EVM or MCEV Differences between EVM and MCEV are mainly related to capital costs EVM frictional capital costs are 4% on EVM capital and approximately 2% on leverage MCEV costs for residual non-hedgeable risks are 3% on 99.5% Value-at-Risk, resulting in lower capital costs than EVM 1 Distinction between Life and Non-Life business is based on the type of business rather than Swiss Re's business segments 16
EVM developments 2013 As of 1 January 2013, the methodology for the EVM valuation of tax assets and liabilities was revised. The cumulative effect upon initial adoption was recognised as an increase of USD 0.3 billion in the opening balance of ENW As of 1 January 2013, frictional capital costs are charged to consumers of leverage using a term structure for the funding rates. Previously, a flat rate of 2% was applied 2014 The application of frictional capital costs will be revised. Parent companies will benefit from a funding credit for business that provides net liquidity. In addition, funding rates charged to users of funding will be lowered Swiss Re's risk tolerance framework will be applied to the calculation and allocation of risk capital costs 17
Corporate calendar & contacts Corporate calendar 24 March 2014 Annual General Meeting Briefing Conference call 11 April 2014 150th Annual General Meeting Zurich 7 May 2014 First Quarter 2014 results Conference call 3 July 2014 Investors' Day London 6 August 2014 Second Quarter 2014 results Conference call 7 November 2014 Third Quarter 2014 results Conference call Investor Relations contacts Hotline E-mail +41 43 285 4444 Investor_Relations@swissre.com Eric Schuh Ross Walker Chris Menth +41 43 285 4708 +41 43 285 2243 +41 43 285 3878 Simone Lieberherr Simone Fessler +41 43 285 4190 +41 43 285 7299 18
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Cautionary note on non-gaap financial measures This presentation includes information on Economic Value Management ( EVM ) which contains non-gaap financial measures. EVM is not based on US GAAP, which are the principles in accordance with which Swiss Re prepares its consolidated financial statements, and should not be viewed as a substitute for US GAAP financial measures. Among other items, the EVM income statement (and its components) should not be viewed as a substitute for the income statement (and its line items) included as part of Swiss Re s US GAAP consolidated financial statements, and the Economic net worth figure should not be viewed as a substitute for shareholders equity as reported in Swiss Re s US GAAP consolidated balance sheet. Nonetheless, Swiss Re believes that EVM provides meaningful additional measures to evaluate its business. 20
Cautionary note on forward-looking statements Certain statements and illustrations contained herein are forward-looking. These statements (including as to plans objectives, targets and trends) 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 of operations, financial condition, solvency ratios, liquidity position or prospects to be materially different from any future results of operations, financial condition, solvency ratios, liquidity position or prospects expressed or implied by such statements or cause Swiss Re to not achieve its published targets. Such factors include, among others: further instability affecting the global financial system and developments related thereto; deterioration in global economic conditions; Swiss Re s ability to maintain sufficient liquidity and access to capital markets, including sufficient liquidity to cover potential recapture of reinsurance agreements, early calls of debt or debt-like arrangements and collateral calls due to actual or perceived deterioration of Swiss Re s financial strength or otherwise; the effect of market conditions, including the global equity and credit markets, and the level and volatility of equity prices, interest rates, credit spreads, currency values and other market indices, on Swiss Re s investment assets; changes in Swiss Re s investment result as a result of changes in its investment policy or the changed composition of its investment assets, and the impact of the timing of any such changes relative to changes in market conditions; uncertainties in valuing credit default swaps and other credit-related instruments; possible inability to realise amounts on sales of securities on Swiss Re s balance sheet equivalent to their mark-to-market values recorded for accounting purposes; the outcome of tax audits, the ability to realise tax loss carryforwards and the ability to realise deferred tax assets (including by reason of the mix of earnings in a jurisdiction or deemed change of control), which could negatively impact future earnings; the possibility that Swiss Re s hedging arrangements may not be effective; the lowering or loss of one of the financial strength or other ratings of one or more Swiss Re companies, and developments adversely affecting Swiss Re s ability to achieve improved ratings; the cyclicality of the reinsurance industry; uncertainties in estimating reserves; uncertainties in estimating future claims for purposes of financial reporting, particularly with respect to large natural catastrophes, as significant uncertainties may be involved in estimating losses from such events and preliminary estimates may be subject to change as new information becomes available; the frequency, severity and development of insured claim events; acts of terrorism and acts of war; mortality, morbidity and longevity experience; policy renewal and lapse rates; extraordinary events affecting Swiss Re s clients and other counterparties, such as bankruptcies, liquidations and other credit-related events; current, pending and future legislation and regulation affecting Swiss Re or its ceding companies, and the interpretation of legislation or regulations; legal actions or regulatory investigations or actions, including those in respect of industry requirements or business conduct rules of general applicability; changes in accounting standards; significant investments, acquisitions or dispositions, and any delays, unexpected costs or other issues experienced in connection with any such transactions; changing levels of competition; and operational factors, including the efficacy of risk management and other internal procedures in managing the foregoing risks. These factors are not exhaustive. Swiss Re operates in a continually changing environment and new risks emerge continually. Readers are cautioned not to place undue reliance on forward-looking statements. Swiss Re undertakes no obligation to publicly revise or update any forward-looking statements, whether as a result of new information, future events or otherwise. This communication is not intended to be a recommendation to buy, sell or hold securities and does not constitute an offer for the sale of, or the solicitation of an offer to buy, securities in any jurisdiction, including the United States. Any such offer will only be made by means of a prospectus or offering memorandum, and in compliance with applicable securities laws. 21