First Quarter 2008 Report

First Quarter 2008 Report

Key information Corporate highlights Net income of CHF 0.6 billion, down 53% with satisfactory underlying performance; earnings per share of CHF 1.84; book value per share of CHF 83.26 Return on equity of 8.5% (annualised); shareholders equity of CHF 27.8 billion Property & Casualty operating income of CHF 1.3 billion; combined ratio 96.9% Life & Health operating income of CHF 0.4 billion; benefit ratio of 91.3% Financial Markets delivered a return on investments of 5.8% (annualised) Structured credit default swaps in run-off generated an additional markto-market loss of CHF 819 million in the first quarter Share buy-back reached CHF 3.26 billion by the end of the first quarter 2008; 42% of announced CHF 7.75 billion target completed Financial highlights (unaudited) For the three months ended 31 March CHF millions, unless otherwise stated 2007 2008 Change in % Property & Casualty Premiums earned 4 902 3690 25 Combined ratio, traditional business in % 93.8 96.9 Life & Health Premiums earned 3 189 2767 13 Benefit ratio in % 94.5 91.3 Financial Markets Operating income 2 315 1389 40 Return on investments in %, annualised 5.4 5.8 Group Premiums earned 8 091 6457 20 Net income 1 329 624 53 Earnings per share in CHF 3.85 1.84 52 Shareholders equity (31.12.2007/31.03.2008) 31 867 27816 13 Return on equity in %, annualised 17.1 8.5 Number of employees1 (31.12.2007/31.03.2008) 11 702 11671 ¹ Permanent staff Financial strength ratings as of 30 April 2008 S & P Moody s A.M. Best Rating AA Aa2 A+ Outlook stable stable stable Share performance Market information as of 30 April 2008 Share price (in CHF) 86.40 Market capitalisation (in CHF millions) 28 741 Number of shares entitled to dividend 332 647 831 Performance 2003 30 April 2008 (p. a.) Year to 31 March 2008 Swiss Re in % 0.9 7.4 Swiss Market Index in % 9.5 11.3 DJ Europe STOXX Insurance Index in % 7.3 8.9 200 Share price in CHF 180 160 140 120 100 80 60 40 20 0 2003 2004 2005 2006 Swiss Re Swiss Market Index DJ Europe STOXX Insurance Index 2007 Annual performance in % 40 20 0 20 40 2008

Contents Letter to shareholders 2 Key events 4 Group 5 Group results 7 Property & Casualty 7 Life & Health 8 Financial Markets 8 Outlook Financial statements 9 Income statement 10 Balance sheet 12 Statement of shareholders equity 13 Statement of comprehensive income 14 Statement of cash flow Notes to the Group financial statements: 15 Note 1 Organisation and summary of significant accounting policies 17 Note 2 Investments 20 Note 3 Fair value disclosures 24 Note 4 Derivative financial instruments 26 Note 5 Deferred acquisition costs (DAC) and acquired present value of future profits (PVFP) 27 Note 6 Debt 28 Note 7 Reinsurance information 29 Note 8 Earnings per share 30 Note 9 Benefit plans 31 Note 10 Information on business segments 37 Note 11 Variable interest entities 38 Note 12 Contingent liabilities General information 39 Note on market risk 40 Cautionary note on forward-looking statements Swiss Re First Quarter 2008 Report 1

Letter to shareholders Dear shareholders, ladies and gentlemen Swiss Re reported net income of CHF 0.6 billion for the first quarter of 2008. Earnings per share fell 52% to CHF 1.84 compared to the same period last year. The reduction was caused by the continuing turmoil in the financial markets and the resulting additional mark-to-market loss of CHF 819 million on the Group s structured credit default swaps. This was partially offset by a strong performance from our asset managers despite the stress in the financial system. Property & Casualty and Life & Health delivered satisfactory results. From left: Peter Forstmoser Chairman of the Board of Directors Jacques Aigrain Chief Executive Officer With the credit crisis effect still working through the financial system, property and casualty rates softening and client retentions increasing, 2008 will be a challenging year. Despite this, Swiss Re s capital position remains strong and we continue to have a high level of confidence in our earnings power and our ability to maximise shareholder returns. As of the end of the first quarter, our share buy-back reached CHF 3.26 billion, with 42% of our announced CHF 7.75 billion target completed. While we face challenging conditions, we are well prepared and start from a position of strength. We will not deviate from our strong focus on profitability and will write lower volumes where our hurdle rates cannot be achieved. Return on equity was equivalent to an annualised rate of 8.5% for the quarter. Shareholders equity decreased 13% to CHF 27.8 billion compared to 31 December 2007, mainly due to the reduction in the value of the US dollar against the Swiss franc (CHF 2.2 billion), mark-to-market effects on our investment portfolio (CHF 1.6 billion), as well as the continued buy-back of shares (CHF 1.0 billion). Book value per share was CHF 83.26 at the end of March, compared to CHF 92.00 at the end of December 2007. Satisfactory underlying performance Property & Casualty delivered an operating income of CHF 1.3 billion, reflecting strict underwriting across all lines of business. The combined ratio for the quarter was 96.9% as a result of higher man-made losses and lower premium volumes. Life & Health generated an operating income of CHF 0.4 billion, representing a decrease of 45% compared to a very strong first quarter in 2007. While the result benefited from the Admin Re, variable annuity and longevity business acquired last year, it was impacted by lower proprietary net realised investment gains in the period. In what was a generally difficult market environment, the Financial Markets segment was impacted by a further mark-to-market loss on the structured credit default swaps. While these are in run-off, we continue to be affected by market value fluctuations on the underlying securities and we estimate a further loss of CHF 200 million for the month of April. Financial Markets generated an operating income of CHF 1.4 billion. The annualised return on investments, which excludes the mark-to-market loss on the structured credit default swaps, was 5.8%. We continue to take steps to ensure that your assets are protected when the financial markets go through turbulent periods. The corporate bonds in our investment portfolio are partially protected against credit spread widening, and, through the use of derivatives, we have reduced our net exposure to publicly traded equities to a negligible level. 18% increase in dividend approved At the Annual General Meeting on 18 April, shareholders approved a strong 18% increase in our dividend to CHF 4.00 per share. Shareholders also elected Raymond K.F. Ch ien and Mathis Cabiallavetta to our Board of Directors; both bring outstanding experience and qualifications to Swiss Re. 2 Swiss Re First Quarter 2008 Report

Letter to shareholders Book value Per common share (CHF) as of 31 December, current year as of 31 March 61.78 73.87 86.21 92.00 2004 2005 2006 2007 83.26 2008 New Head of Financial Markets appointed We are pleased to welcome David Blumer to our management team as Head of Financial Markets and Member of our Executive Committee. David comes to us from Credit Suisse, where he was Chief Executive Officer of Asset Management and a member of their Executive Board. He brings with him extensive expertise in the fields of asset management and financial markets, and his leadership acumen will further strengthen our competitive advantage. David succeeds Roger Ferguson, who has accepted a senior position at a major US asset manager. We would like to thank Roger for his extensive contribution to our Financial Markets business. Strong foundation to seize opportunities Over the past few years we have reinforced the quality of our earnings by enhancing our diversification and transferring peak risks, on both sides of our balance sheet, to the capital markets. This, combined with our sharp focus on underwriting quality, careful risk selection and economic profit growth, strengthens our ability to manage your company s capital efficiently, increasing our return on equity. Together these factors provide us with a strong foundation to face softening property and casualty rates with confidence, weather the remaining credit challenges and, most importantly, seize the opportunities in 2008. At present our results suffer from the effect of significant increases in spreads on our assets; however, we are satisfied that our investment portfolio is sound. Our disciplined approach to asset-liability management means we are able to hold our assets over long periods, benefiting from the additional income that results from the higher yields. Adding value for our clients as well as achieving attractive margins and delivering strong earnings per share for you, our shareholders, is our key objective. Zurich, 6 May 2008 Peter Forstmoser Chairman of the Board of Directors Jacques Aigrain Chief Executive Officer Swiss Re First Quarter 2008 Report 3

Key events 7 January Strategic partnership in Vietnam Acquisition of 25% stake in Vietnam s leading reinsurance provider, Vietnam National Reinsurance Corporation 11 January Regulation XXX transaction with SBLI Agreement announced to fund up to USD 175 million of peak Regulation XXX reserve requirements for the Savings Bank Life Insurance Company of Massachusetts (SBLI) through a private securitisation 22 January First Central American earthquake bond USD 85 million issued in multi-peril securitisation covering windstorm events in the US as well as earthquakes in California and Central America 23 January Property & Casualty quota share arrangement Five-year quota share agreement with Berkshire Hathaway covering 20% of the Group s new and renewed Property & Casualty business; the capital released by the contract will be used to increase the share buy-back by CHF 1.75 billion 19 February Admitted reinsurer in Brazil Swiss Re registers as admitted reinsurer under new regulatory environment in Brazil: existing operations become representative office in São Paulo 29 February Strong net income for 2007 Swiss Re announced a CHF 4.2 billion net income and a return on equity of 13.5% 2 April Full-service third party healthcare administrator established in China Swiss Re received approval to establish a consulting company in China to provide comprehensive third party administrator and related consulting services to hospitals, insurers, policyholders and employers 18 April 144th Annual General Meeting Shareholders approved an 18% increase in dividend to CHF 4.00 per share 4 Swiss Re First Quarter 2008 Report

Group Satisfactory underlying performance resulted in net income of CHF 0.6 billion for the first quarter of 2008 with earnings per share of CHF 1.84. The result was impacted by a further mark-to-market loss of CHF 819 million on the structured credit default swaps in run-off. Group results Swiss Re reported net income of CHF 0.6 billion in the first quarter, representing a 53% decrease compared to the first quarter of 2007. Earnings per share were 52% lower at CHF 1.84. The Swiss franc increased 12% against both the US dollar and the British pound versus first quarter 2007 average rates. As Swiss Re s business is global, currency fluctuations can markedly affect the comparison of year-on-year reported income statement and balance sheet figures. Premiums earned declined 20% to CHF 6.5 billion, mainly as a result of continuing active cycle management, the quota share agreement with Berkshire Hathaway, as well as the impact of foreign exchange fluctuations. The Group s investment income and net realised gains include the investment result from assets backing unit-linked and with-profit policies. These returns are credited to policyholders accounts and therefore excluded from the following comments on the investment performance of the Group. Net investment income was CHF 2.1 billion, a 5% increase compared to the prior year period. The increase was a combination of overall portfolio growth and new Admin Re business added to the balance sheet during 2007, partially offset by unfavourable foreign exchange impacts. Income statement CHF millions, for the three months ended 31 March 2007 2008 Change in % Revenues Premiums earned 8 091 6457 20 Fee income from policyholders 213 183 14 Net investment income 2 194 2379 8 Net realised investment gains/losses 1 068 2 141 Other revenues 67 69 3 Total revenues 11 633 6 947 40 Expenses Claims and claim adjustment expenses 3 412 2558 25 Life and health benefits 2 893 2 273 21 Interest credited to policyholders 636 1131 Acquisition costs 1 557 1 329 15 Other expenses 1 050 782 26 Interest expenses 336 430 28 Total expenses 9 884 6241 37 Income before income tax expense 1 749 706 60 Income tax expense 420 82 80 Net income 1 329 624 53 Shareholders equity (31.12.07/31.03.08) 31 867 27 816 13 Swiss Re First Quarter 2008 Report 5

Group Net realised investment losses were CHF 0.4 billion compared to a gain of CHF 0.8 billion in the first quarter of 2007. This decrease was primarily due to a further mark-to-market loss of CHF 819 million from the structured credit default swaps in run-off, and the realised capital gain of CHF 268 million from the sale of Swiss Re s London office building in the first quarter of 2007. Other revenues remained constant quarter on quarter. Claims and claim adjustment expenses decreased 25% to CHF 2.6 billion. The reduction was a combination of strict underwriting, the quota share agreement with Berkshire Hathaway and foreign exchange effects. Natural catastrophe claims were at a similar level to the first quarter of 2007, which included losses from winter storm Kyrill. Man-made losses in the first quarter of 2008 were higher compared to the same period last year. Prior year claims development was positive. Life and health benefits decreased 21% to CHF 2.3 billion, mainly the result of foreign exchange movements. Interest credited to policyholders was CHF 1.1 billion compared to CHF 0.6 billion in the prior year period, reflecting the investment performance on the underlying assets. Acquisition costs decreased 15% to CHF 1.3 billion. The acquisition cost ratio was 20.6% in the first quarter of 2008, compared to 19.2% in the same period of the previous year. The Property & Casualty acquisition cost ratio decreased 0.6% percentage points compared to the prior year. Other expenses decreased 26% to CHF 0.8 billion in the first quarter of 2008 compared to the first quarter of 2007, mainly due to lower variable compensation and foreign exchange movements. Interest expenses increased 28% to CHF 430 million due to higher outstanding debt positions compared to the first quarter 2007. For the first quarter, the Group s effective tax rate was 11.6% compared to 24.0% in the same period of the previous year, resulting in a total tax charge of CHF 82 million. This decrease was primarily due to a non-recurring tax benefit recognised in the first quarter of 2008, as well as legislated tax rate reductions enacted after the first quarter of 2007. Shareholders equity decreased 13% to CHF 27.8 billion compared to the end of 2007. This decline included foreign exchange impacts of CHF 2.2 billion; a decrease in unrealised gains of CHF 1.6 billion, of which increases from lower yields were more than offset by credit spread widening; and a reduction of CHF 1.0 billion from the Group s continuing share buy-back programme in the first quarter of 2008. Book value per share was CHF 83.26 at the end of March, compared to CHF 92.00 at the end of 2007. For the first quarter, annualised return on equity was 8.5%, compared to 17.1% for the same quarter of the prior year. Income reconciliation The income reconciliation table reconciles the income from the business segments and the operations of the Corporate centre with the Group s consolidated net income before tax. Net realised gains or losses on certain financial instruments, certain currency exchange gains and losses, and other income and expenses such as indirect taxes, capital taxes and interest charges have been excluded from the assessment of each segment s performance. 6 Swiss Re First Quarter 2008 Report

Group Income reconciliation CHF millions, for the three months ended 31 March 2007 2008 Change in % Operating income Property & Casualty 1 377 1301 6 Life & Health 812 449 45 Financial Markets 2 315 1389 40 Allocation 2 332 2273 3 Total operating income 2 172 867 60 Corporate Centre expenses 92 88 4 Items excluded from the segments: Net investment income 114 56 51 Net realised investment gains/losses 200 38 Foreign exchange gains/losses 93 252 171 Financing costs 336 388 15 Other income/expenses 2 31 Net income before tax 1 749 706 60 Property & Casualty Property & Casualty operating income decreased 6% to CHF 1.3 billion in the first quarter of 2008, compared to CHF 1.4 billion in the same period of the previous year. The first quarter result reflected strict underwriting across all lines of business, as well as favourable experience from prior year claims, mostly in the casualty line of business. Net investment result was stable at CHF 1.2 billion. Higher investment income, reflecting an increase in the running yield, was partially offset by lower capital gains in the first quarter of 2008. Net premiums earned decreased 25% to CHF 3.7 billion from CHF 4.9 billion in the first quarter of 2007, largely impacted by foreign exchange movements. At constant foreign exchange rates, premiums decreased 19% compared to 2007. Premiums were also affected by the quota share agreement with Berkshire Hathaway. Higher client retentions, as well as pressure on rates across almost all lines of business, affected the volumes of traditional business in the first quarter of 2008. The first quarter of 2008 saw a level of natural catastrophe claims similar to the first quarter of 2007, which included losses from winter storm Kyrill. The combined ratio was 96.9%, compared to 93.8% in the first quarter of the previous year. The property business was impacted by higher man-made losses and lower premium volumes, resulting in an increased combined ratio of 103.8% from 80.9% in the same period of 2007. However, in the liability business, favourable claims development improved the combined ratio to 102.8% from 112.8% in the first quarter of 2007. Life & Health Operating income decreased 45% to CHF 0.4 billion in the first quarter of 2008 compared to CHF 0.8 billion in the prior year period, mainly due to lower proprietary net realised investment gains. The underlying business performed at expected levels in traditional life and health, and benefited from new Admin Re transactions completed in the second half of 2007. Premiums and fee income decreased 13%, or 5% at constant foreign exchange rates, to CHF 3.0 billion due to the sale of the new business operations of Tomorrow (the recently rebranded GE Life UK) to LV= (formerly known as Liverpool Victoria) in December 2007, as well as negative foreign exchange impacts. The decrease in premiums and fees was positively offset by favourable foreign exchange effects which lowered the life and health benefit expenses. Swiss Re First Quarter 2008 Report 7

Group The benefit ratio, calculated as claims divided by premiums earned, both of which exclude unit-linked and with-profit business, decreased to 91.3% in the first quarter compared to 94.5% in the same quarter of 2007. The benefit ratio improved following the sale of Tomorrow s (the recently rebranded GE Life UK) new business stream; however, the underlying benefit ratio deteriorated as a result of higher than expected US mortality, partly offset by improved morbidity in Admin Re. Financial Markets The annualised return on investments, which excludes the mark-to-market loss on the structured credit default swaps, was 5.8% in the first quarter of 2008, compared to 5.4% in the same quarter of the previous year. Net assets under management decreased 14% to CHF 158.2 billion at the end of March 2008, compared to CHF 182.9 billion at the end of 2007. This reduction was mainly due to the significant decrease in value of the US dollar compared to the Swiss franc. Operating income for the quarter was CHF 1.4 billion compared to CHF 2.3 billion in the first quarter of 2007. Net investment income grew 14% to CHF 2.1 billion versus the first quarter of 2007. This increase reflected a higher asset base in 2008 compared to the first quarter of 2007, and an increase in running yield to 5.3% from 4.8% in the respective periods, partially offset by foreign exchange movements. Net realised losses amounted to CHF 0.6 billion in the first quarter of 2008, compared to gains of CHF 0.8 billion in the first quarter of 2007. This change was primarily due to a further mark-to-market loss of CHF 819 million in the first quarter on the structured credit default swaps in run-off, as well as net realised losses of CHF 250 million due to sales in the global equity portfolio. In addition, the first quarter 2007 result benefited from the realised capital gain of CHF 268 million from the sale of Swiss Re s London office building. The decrease in expenses of CHF 165 million, which are included in net investment income, was mainly driven by lower variable compensation. Net unrealised gains were CHF 3.4 billion at the end of the first quarter of 2008 compared to CHF 4.9 billion at the end of 2007. The impact of lower interest rates was more than offset by foreign exchange movements, credit spread widening and sale of equities. At the end of March 2008, the credit spread exposure as measured by a stress test scenario was reduced by means of credit default swaps from a gross exposure of CHF 3.1 billion to a net stress exposure of CHF 2.8 billion. Similarly, Swiss Re reduced its net exposure to publicly traded equities at the beginning of 2008 by selling stocks. The remaining gross stress test exposure of CHF 0.6 billion at the end of March 2008 was reduced by means of derivatives to CHF 0.1 billion. The stress test exposure is measured by assuming a 30% fall in equity markets with a simultaneous increase in volatility. Outlook Swiss Re remains focused on delivering enhanced sustainable returns to its shareholders. The Group continues to manage volatility on both sides of its balance sheet, through active hedging of both underwriting and investment exposures. Swiss Re s solid capital base, combined with strict underwriting and careful risk selection, will position the Group to achieve economic profit growth. Swiss Re remains committed to its targets of 14% ROE and 10% compound EPS growth over the cycle. 8 Swiss Re First Quarter 2008 Report

Income statement (unaudited) For the three months ended 31 March CHF millions Note 2007 2008 Revenues Premiums earned 7,10 8 091 6457 Fee income from policyholders 7,10 213 183 Net investment income 2,10 2 194 2379 Net realised investment gains/losses 2,10 1 068 2141 Other revenues 10 67 69 Total revenues 11 633 6947 Expenses Claims and claim adjustment expenses 7,10 3 412 2558 Life and health benefits 7,10 2 893 2273 Interest credited to policyholders 10 636 1131 Acquisition costs 7,10 1 557 1329 Other expenses 10 1 050 782 Interest expenses 10 336 430 Total expenses 9 884 6241 Income before income tax expense 1 749 706 Income tax expense 420 82 Net income 1 329 624 Earnings per share in CHF Basic 8 3.85 1.84 Diluted 8 3.55 1.78 The accompanying notes are an integral part of the Group financial statements. Swiss Re First Quarter 2008 Report 9

Balance sheet (unaudited) Assets CHF millions Note 31.12. 2007 31.03. 2008 Investments 2,3,4 Fixed income securities: Available-for-sale, at fair value (including 9 045 in 2007 and 7 696 in 2008 subject to securities lending and repurchase agreements) (amortised cost: 2007: 105 995; 2008: 92 700) 107 810 93836 Trading (including 15 000 in 2007 and 11 457 in 2008 subject to securities lending and repurchase agreements) 51 793 43191 Equity securities: Available-for-sale, at fair value (including 1 528 in 2007 and 22 in 2008 subject to securities lending and repurchase agreements) (amortised cost: 2007: 9 039; 2008: 4 093) 10 759 4845 Trading 22 103 18430 Policy loans, mortgages and other loans 7 414 6 863 Investment real estate 2 682 2332 Short-term investments, at amortised cost which approximates fair value 8 786 6381 Other invested assets 16 465 15999 Total investments 227 812 191877 Cash and cash equivalents 11 531 12031 Accrued investment income 2 139 2 000 Premiums and other receivables 14 341 16203 Reinsurance recoverable on unpaid claims and policy benefits 7 14 232 12438 Funds held by ceding companies 14 205 13184 Deferred acquisition costs 5,7 5 152 4830 Acquired present value of future profits 5 6 769 5847 Goodwill 4 897 4351 Income taxes recoverable 1 049 934 Other assets 5 160 10821 Total assets 307 287 274 516 The accompanying notes are an integral part of the Group financial statements. 10 Swiss Re First Quarter 2008 Report

Balance sheet (unaudited) Liabilities and shareholders equity CHF millions Note 31.12. 2007 31.03. 2008 Liabilities Unpaid claims and claim adjustment expenses 7 88 528 78625 Liabilities for life and health policy benefits 3,7 50 026 43461 Policyholder account balances 7 41 340 34554 Unearned premiums 7 722 9622 Funds held under reinsurance treaties 8 377 7472 Reinsurance balances payable 5 384 6697 Income taxes payable 679 655 Deferred and other non-current taxes 3 817 3172 Short-term debt 6 12 658 9444 Accrued expenses and other liabilities 33 552 31638 Long-term debt 6 23 337 21 360 Total liabilities 275 420 246700 Shareholders equity Common stock, CHF 0.10 par value: 2007: 370 386 755; 2008: 370 401 585 shares authorised and issued 37 37 Additional paid-in capital 11 208 11211 Treasury shares 1 540 2434 Accumulated other comprehensive income: Net unrealised investment gains, net of deferred taxes 3 119 1542 Cumulative translation adjustments 2 554 4752 Accumulated adjustment for pension and post-retirement benefits 115 86 Total accumulated other comprehensive income 450 3296 Retained earnings 21 712 22298 Total shareholders equity 31 867 27816 Total liabilities and shareholders equity 307 287 274 516 The accompanying notes are an integral part of the Group financial statements. Swiss Re First Quarter 2008 Report 11

Statement of shareholders equity (unaudited) For the twelve months of 2007 ended 31 December and the three months of 2008 ended 31 March CHF millions 2007 2008 Common shares Balance as of 1 January 37 37 Issue of common shares Balance as of period end 37 37 Additional paid-in capital Balance as of 1 January 11 136 11208 Issue of common shares 38 1 Share based compensation 18 4 Realised gains/losses on treasury shares 52 2 Balance as of period end 11 208 11211 Treasury shares Balance as of 1 January 272 1540 Purchase of treasury shares 2 574 1016 Sale of treasury shares 1 306 122 Balance as of period end 1 540 2434 Net unrealised gains/losses, net of tax Balance as of 1 January 2 230 3119 Change during the period 889 1544 Cumulative effect of adoption of SFAS159 33 Balance as of period end 3 119 1542 Foreign currency translation Balance as of 1 January 205 2554 Change during the period 2 349 2198 Balance as of period end 2 554 4752 Adjustments for pension and other post-retirement benefits Balance as of 1 January 724 115 Change during the period 609 29 Balance as of period end 115 86 Retained earnings Balance as of 1 January 18 682 21712 Net income 4 162 624 Dividends on common shares 1 162 Cumulative effect of adoption of FIN 48 30 Cumulative effect of adoption of SFAS 158 31 Cumulative effect of adoption of SFAS 159 7 Balance as of period end 21 712 22298 Total shareholders equity 31 867 27 816 The accompanying notes are an integral part of the Group financial statements. 12 Swiss Re First Quarter 2008 Report

Statement of comprehensive income (unaudited) For the three months ended 31 March CHF millions 2007 2008 Net income 1 329 624 Other comprehensive income, net of tax: Change in unrealised gains/losses 133 1577 Change in foreign currency translation 35 2198 Change in adjustment for pension benefits 6 29 Comprehensive income 1 237 3122 The accompanying notes are an integral part of the Group financial statements. Swiss Re First Quarter 2008 Report 13

Statement of cash flow (unaudited) For the three months ended 31 March CHF millions 2007 2008 Cash flows from operating activities Net income 1 329 624 Adjustments to reconcile net income to net cash provided/used by operating activities: Depreciation, amortisation and other non-cash items 209 217 Net realised investment gains/losses 1 068 2141 Change in: Technical provisions, net 1 817 620 Funds held by ceding companies and other reinsurance balances 1 534 1686 Other assets and liabilities, net 275 2709 Income taxes payable/recoverable 116 43 Income from equity-accounted investees, net of dividends received 31 33 Trading positions, net 3 131 4185 Securities purchased/sold under agreement to resell/repurchase, net 1 014 2124 Net cash provided/used by operating activities 1 004 38 Cash flows from investing activities Fixed income securities: Sales and maturities 13 821 9214 Purchases 16 495 9769 Net purchase/sale/maturities of short-term investments 884 1538 Equity securities: Sales 2 452 5078 Purchases 1 565 637 Cash paid/received for acquisitions/disposals and reinsurance transactions, net Net purchases/sales/maturities of other investments 959 746 Net cash provided/used by investing activities 56 4678 Cash flows from financing activities Issuance of long-term debt 1 255 187 Issuance/repayment of short-term debt 1 004 2262 Equity issued 12 1 Purchase/sale of treasury shares 1 746 896 Net cash provided/used by financing activities 525 2 970 Total net cash provided/used 423 1746 Effect of foreign currency translation 31 1246 Change in cash and cash equivalents 392 500 Cash and cash equivalents as of 1 January 13 606 11531 Cash and cash equivalents as of 31 March 13 214 12031 The accompanying notes are an integral part of the Group financial statements. Interest paid during 2008 was CHF 524 million. In accordance with the changes in the balance sheet and the income statement, the cash flow line items for 2007 have been adjusted. Cash flows originated from Financial Services assets and liabilities are reallocated according to the origin of the cash flow (operating/ investing/financing). 14 Swiss Re First Quarter 2008 Report

1 Organisation and summary of significant accounting policies Nature of operations Basis of presentation The Swiss Re Group, which is headquartered in Zurich, Switzerland, comprises Swiss Reinsurance Company Ltd (the parent company, referred to as Swiss Re Zurich ) and its subsidiaries (collectively, the Swiss Re Group or the Group ). The Group provides reinsurance and other related products and services to insurance companies, direct clients and others worldwide through reinsurance brokers and a network of offices in over 25 countries. The accompanying consolidated financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (US GAAP) and comply with Swiss law. The Group s financial statements are stated in Swiss francs (CHF), the currency of the country in which Swiss Re Zurich is incorporated. All significant inter-company transactions and balances have been eliminated on consolidation. These interim financial statements should be read in conjunction with the Swiss Re Group financial statements for the year ended 31 December 2007. Use of estimates in the preparation of financial statements Valuation of financial assets The preparation of financial statements requires management to make significant estimates and assumptions that affect the reported amounts of assets, liabilities, revenues and expenses as well as the related disclosure including contingent assets and liabilities. The Swiss Re Group s liabilities for unpaid claims and claim adjustment expenses and policy benefits for life and health include estimates for premium, claim and benefit data not received from ceding companies at the date of the financial statements. In addition, the Group uses certain financial instruments and invests in securities of certain entities for which exchange trading does not exist. The Group determines these estimates based on historical information, actuarial analyses, financial modelling, and other analytical techniques. Actual results could differ significantly from the estimates described above. The fair value of the majority of the Group s financial instruments is based on quoted prices in active markets or observable inputs. These instruments include government and agency securities, commercial paper, most investment-grade corporate debt, most high-yield debt securities, exchange traded derivative instruments, most mortgage-backed and asset-backed securities and listed equity securities. In markets with reduced or no liquidity, spreads between bid and offer prices are normally wider compared to spreads in highly liquid markets. Such market conditions affect the valuation of certain asset classes of the Group, such as some asset-backed securities as well as certain derivative structures referencing such asset classes. There can also be differences between the market values implied by collateral requested by counterparties and the prices observed in the markets. The Group has provided collateral on all financial instruments, including the structured credit default swap, in excess of the market value estimate of CHF 295 million. For these assets or derivative structures, the Group uses market prices or inputs derived from market prices. A separate internal price verification process, independent of the trading function, provides an additional control over the market prices or market input used to determine the fair values of such assets. Whilst management considers that appropriate values have been ascribed to such assets, current market conditions increase the level of uncertainty and judgment over these valuations. Subsequent valuations could differ significantly from the results of the process described above. The Group may become aware of counterparty valuations, either directly through the exchange of information, or indirectly, for example, through collateral demands. Any implied differences are considered in the independent price verification process and may result in adjustments to initially indicated valuations. Swiss Re First Quarter 2008 Report 15

Recent accounting guidance In September 2006, the Financial Accounting Standards Board issued SFAS No. 158 Employers Accounting for Defined Benefit Pension and Other Postretirement Plans (SFAS 158). SFAS 158 requires an employer to recognise the overfunded or underfunded status of a defined benefit post-retirement plan as an asset or liability and to recognise changes in that funded status in the year in which the changes occur through comprehensive income. The Group adopted the provisions of SFAS 158 for the year ended 31 December 2006 except for the provision to measure plan assets and benefit obligations as of the date of the employers fiscal year end statement of financial condition. The Group adopted the final provision as of 1 January 2008. Refer to Note 9 for further information. In September 2006, the Financial Accounting Standards Board issued SFAS No. 157 Fair Value Measurements (SFAS 157). SFAS 157 establishes a new definition and framework for determining fair value and expands the required disclosures for assets and liabilities recorded at fair value. This statement applies to all assets and liabilities measured at fair value which are required or allowed by other standards with limited exceptions. The Group adopted SFAS 157 as of 1 January 2008. See Note 3 for further information. In February 2007, the Financial Accounting Standards Board issued SFAS No. 159 The Fair Value Option for Financial Assets and Financial Liabilities (SFAS 159). SFAS 159 enables entities to elect to measure specified financial assets and liabilities at fair value on an instrument-by-instrument basis and expands the ability to use fair value measurements with financial instruments and certain other items for which fair value measurement was not previously permitted. The Group adopted SFAS 159 and applied the fair value option as of 1 January 2008. See Note 3 for further information. On 30 April 2007, the Financial Accounting Standards Board issued FSP FIN 39-1 Amendment of FASB Interpretation No. 39 (FIN 39-1). FIN 39-1 impacts master netting arrangements, which are part of derivative transactions, by allowing net derivative positions to be offset against the fair value of amounts (or amounts that approximate fair value) recognised as the right to reclaim cash collateral or the obligation to return cash collateral under those arrangements. The Group adopted FIN 39-1 as of 1 January 2008. Refer to Note 4 for further information. 16 Swiss Re First Quarter 2008 Report

2 Investments Investment income Net investment income by source for the three months ended 31 March was as follows: CHF millions 2007 2008 Fixed income securities 1 659 1874 Equity securities 141 186 Policy loans, mortgages and other loans 157 106 Investment real estate 53 57 Short-term investments 140 77 Other current investments 27 47 Equity in earnings of equity-accounted investees 33 33 Cash and cash equivalents 86 100 Deposits with ceding companies 162 117 Gross investment income 2 458 2597 Investment expenses 108 149 Interest charged for funds held 156 69 Net investment income 2 194 2379 Dividends received from investments accounted for using the equity method were CHF 2 million for the three months ended 31 March 2007. No dividends were received in the first three months of 2008. Net investment income for the three months ended 31 March 2007 and 2008, respectively, includes income on unit-linked business of CHF 134 million and CHF 193 million. Realised gains and losses Realised gains and losses for fixed income, equity securities and other investments for the three months ended 31 March were as follows: CHF millions 2007 2008 Fixed income securities available-for-sale: Gross realised gains 141 188 Gross realised losses 129 83 Equity securities available-for-sale: Gross realised gains 521 503 Gross realised losses 43 710 Other-than-temporary impairments 130 186 Net realised investment gains/losses on trading securities 288 418 Change in net unrealised investment gains on trading securities 182 2089 Other investments: Gross realised/unrealised gains/losses 232 402 Foreign exchange gains/losses 6 252 Net realised investment gains/losses 1 068 2141 Proceeds from the sales of fixed income securities available-for-sale amounted to CHF 10 341 million and CHF 9 279 million for the three months ended 31 March 2007 and 2008, respectively, and sales of equity securities available-for-sale were CHF 2 334 million and CHF 4 905 million, respectively. Net realised investment gains/losses include income on unit-linked business of CHF 301 million and CHF 1 428 million for the three months ended 31 March 2007 and 2008, respectively, which is credited to unit-linked policyholders. For 2008, net realised investment gains/losses include all foreign exchange gains/losses remeasurement. For 2007, the foreign exchange gains/losses remeasurement on operational debt is included in interest expenses. The total foreign exchange impact for 2007, including the remeasurement on operational debt, was CHF 93 million. Swiss Re First Quarter 2008 Report 17

Investments available-for-sale Amortised cost or cost and estimated fair values of investments in fixed income and equity securities classified as available-for-sale were as follows: As of 31 December 2007 CHF millions Amortised cost or cost Gross unrealised gains Gross unrealised losses Estimated fair value Debt securities issued by governments and government agencies: US Treasury and other US government corporations and agencies 22 743 678 96 23 325 States of the United States and political subdivisions of the States 1 417 46 11 1 452 United Kingdom 11 096 261 65 11 292 Canada 3 708 1 040 4 4 744 Germany 2 228 50 22 2 256 France 1 196 11 24 1 183 Other 7 293 281 41 7 533 Total 49 681 2 367 263 51 785 Corporate debt securities 25 117 650 747 25 020 Mortgage-backed and asset-backed securities 31 197 246 438 31 005 Fixed income securities available-for-sale 105 995 3 263 1 448 107 810 Equity securities available-for-sale 9 039 2 205 485 10 759 As of 31 March 2008 CHF millions Amortised cost or cost Gross unrealised gains Gross unrealised losses Estimated fair value Debt securities issued by governments and government agencies: US Treasury and other US government corporations and agencies 20 712 1 039 120 21 631 States of the United States and political subdivisions of the States 380 41 1 420 United Kingdom 8 658 264 248 8 674 Canada 3 404 872 4 4 272 Germany 1 475 52 17 1 510 France 1 108 26 9 1 125 Other 6 208 406 127 6 487 Total 41 945 2 700 526 44 119 Corporate debt securities 23 258 518 992 22 784 Mortgage-backed and asset-backed securities 27 497 257 821 26 933 Fixed income securities available-for-sale 92700 3475 2339 93836 Equity securities available-for-sale 4093 1072 320 4845 Investments trading Fixed income securities and equity securities classified as trading as of 31 December 2007 and 31 March 2008 were as follows: CHF millions As of 31 December 2007 As of 31 March 2008 Debt securities issued by governments and government agencies 14 738 13 651 Corporate debt securities 18 894 16 380 Mortgage-backed and asset-backed securities 18 161 13 160 Fixed income securities trading 51793 43191 Equity securities trading 22 103 18 430 18 Swiss Re First Quarter 2008 Report

Mortgages, loans and real estate As of 31 December 2007 and 31 March 2008, investments in mortgages, other loans and real estate comprised the following: As of 31 December 2007 As of 31 March 2008 CHF millions Carrying value Fair value Carrying value Fair value Policy loans, mortgages and other loans 7 414 7 414 6863 6863 Investment real estate 2 682 3 937 2332 3471 As of 31 December 2007 and 31 March 2008, the Group s investment in mortgages and other loans included CHF 216 million and CHF 217 million, respectively, of loans due from employees and CHF 415 million and CHF 422 million, respectively, due from officers. These loans generally consist of mortgages offered at variable and fixed interest rates. As of 31 December 2007 and 31 March 2008, investments in real estate included CHF 64 million and CHF 28 million, respectively, of real estate held for sale. Depreciation expense related to income-producing properties was CHF 10 million and CHF 2 million for the three months ended 31 March 2007 and 2008, respectively. Accumulated depreciation on investment real estate totalled CHF 508 million and CHF 453 million as of 31 December 2007 and 31 March 2008, respectively. Substantially all mortgages and other loans receivable are secured by buildings, land or the underlying policies. The ultimate collectibility of the receivables is evaluated regularly and an appropriate allowance for uncollectible amounts is established. Swiss Re First Quarter 2008 Report 19

3 Fair value disclosures As of 1 January 2008, the Swiss Re Group adopted SFAS No.157 Fair Value Measurements (SFAS 157). SFAS 157 defines fair value, establishes a framework for measuring fair value, and expands disclosures about fair value measurements. It requires disclosures of the Group s assets and liabilities that are measured at fair value. SFAS 157 requires all assets and liabilities that are measured at fair value to be categorised within the fair value hierarchy. This three-level hierarchy is based on the observability of the inputs used in the fair value measurement. The levels of the fair value hierarchy are defined as follows: Level 1 inputs are quoted prices in active markets for identical assets or liabilities that the Group has the ability to access. Level 1 inputs are the most persuasive evidence of fair value and are to be used whenever possible. Level 2 inputs are market based inputs that are directly or indirectly observable but not considered level 1 quoted prices. Level 2 inputs consist of (i) quoted prices for similar assets or liabilities in active markets; (ii) quoted prices for identical assets or liabilities in non-active markets (eg markets which have few transactions and prices are not current or price quotations vary substantially); (iii) inputs other than quoted prices that are observable (eg interest rates, yield curves, volatilities, prepayment speeds, credit risks and default rates); and (iv) inputs derived from, or corroborated by, observable market data. Level 3 inputs are unobservable inputs. These inputs reflect the Group s own assumptions about market pricing using the best internal and external information available. The types of instruments valued based on quoted market prices in active markets include most US government and sovereign obligations, active listed equities, and most money market securities. Such instruments are generally classified within level 1 of the fair value hierarchy. The Group does not adjust the quoted price for such instruments, even in situations where it holds a large position and a sale could reasonably impact the quoted price. The types of instruments that trade in markets that are not considered to be active, but are valued based on quoted market prices, broker or dealer quotations, or alternative pricing sources with reasonable levels of price transparency include most government agency securities, investment-grade corporate bonds, certain mortgage and asset-backed products, less liquid listed equities, state and municipal and provincial obligations. Such instruments are generally classified within level 2 of the fair value hierarchy. Exchange-traded derivative instruments typically fall within level 1 or level 2 of the fair value hierarchy depending on whether they are considered to be actively traded or not. Certain financial instruments are classified within level 3 of the fair value hierarchy because they trade infrequently and therefore have little or no price transparency. Such instruments include private equity, less liquid corporate debt securities and certain assetbacked securities. Certain over-the-counter derivatives trade in less liquid markets with limited pricing information, and the determination of fair value for these derivatives is inherently more difficult. Such instruments are classified within level 3 of the fair value hierarchy. Pursuant to the election of the fair value option, the Group classifies certain Life & Health policy reserves within level 3 of the fair value hierarchy. When appropriate, valuations are adjusted for various factors such as liquidity, bid/offer spreads and credit considerations. Such adjustments are generally based on available market evidence. In the absence of such evidence, management s best estimate is used. When the Group uses multiple inputs in a single valuation, the lowest level input that is significant determines the measurement of fair value for an asset or liability. 20 Swiss Re First Quarter 2008 Report

Assets and liabilities measured at fair value on a recurring basis As of 31 March 2008 the fair values of assets and liabilites measured on a recurring basis by level of input were as follows: Quoted prices in active markets for identical assets (Level 1) Significant other observable inputs (Level 2) Significant unobservable inputs (Level 3) Impact of netting 1 CHF millions Total Assets Fixed income securities 17 397 106 622 13 008 137 027 Equity securities 20 833 2 175 267 23 275 Derivative financial instruments 222 68 944 10 825 73 935 6 056 Other invested assets 304 792 1 227 2 323 Total assets at fair value 38 756 178 533 25 327 73 935 168681 Liabilities Derivative financial instruments 395 68 336 13 021 76 020 5 732 Liabilities for life and health policy benefits 138 138 Accrued expenses and other liabilities 2363 3 549 451 6 363 Total liabilities at fair value 2 758 71 885 13 610 76 020 12 233 1 FIN 39 permits the netting of derivative receivables and derivative payables when a legally enforceable master netting agreement exists between two counterparties. A master netting agreement provides for the net settlement of all contracts, as well as cash collateral, through a single payment, in a single currency, in the event of default or on the termination of any one contract Assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) Fixed income securities Equity securities Derivative financial instruments Other invested assets CHF millions Total Assets Beginning balance as of 1 January 2008 8 887 140 2 685 1 498 13 210 Realised/unrealised gains/losses: Included in net income 63 25 98 11 21 Included in other comprehensive income 213 93 30 13 103 Purchases, issuances, and settlements 3 994 40 7 949 239 11 744 Transfers in and/or out of Level 3 479 19 93 53 644 Impact of foreign exchange 76 30 83 189 Ending balance as of 31 March 2008 13008 267 10825 1227 25327 Liabilities for life and health policy benefits Derivative financial instruments Other liabilities Total Liabilities Beginning balance as of 1 January 2008 102 3 942 170 4 214 Realised/unrealised gains/losses: Included in net income 1 053 1 1 052 Included in other comprehensive income Purchases, issuances, and settlements 34 7 758 282 8 074 Transfers in and/or out of Level 3 298 298 Impact of foreign exchange 2 30 28 Ending balance as of 31 March 2008 138 13021 451 13610 Swiss Re First Quarter 2008 Report 21

Gains and losses on assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) The gains and losses relating to the assets and liabilites measured at fair value using significant unobservable inputs (Level 3) for the three months ended 31 March 2008 were as follows: Net realised investment gains/losses CHF millions Gains/losses included in net income for the period 1 031 Whereof change in unrealised gains/losses relating to assets and liabilities still held at the reporting date 1 259 Fair value option SFAS 159, The Fair Value Option for Financial Assets and Financial Liabilities, permits the choice to measure specified financial assets and liabilities at fair value on an instrument-by-instrument basis. As of 1 January 2008, the Group elected the fair value option for positions in the following line items in the balance sheet: Fixed income securities trading The Group has elected the fair value option for an investment previously classified as available-for-sale within other invested assets in the balance sheet. This investment was measured at fair value with changes in fair value recorded in other comprehensive income. The Group economically hedges the investment with derivative instruments that offset this exposure. The changes in fair value of the derivatives are recorded in earnings. Electing the fair value option eliminates the mismatch previously caused by the economic hedging of the investment and reduces the volatility in the income statement. Liabilities for life and health policy benefits The Group has elected the fair value option for existing SOP 03-01 guaranteed minimum death benefit (GMDB) reserves related to certain variable annuity contracts which are classified as universal life-type contracts. The Group has applied the fair value option as the equity risk associated with those contracts is managed on a fair value basis and it is economically hedged with derivative options in the market. Cumulative effect due to initial adoption of the fair value option The initial adoption of the fair value option for existing transactions had a one-time effect on the corresponding balance sheet positions and retained earnings. The following table shows the adjustment on retained earnings for each balance sheet item as of 1 January 2008: CHF millions Carrying value prior to adoption Impact upon adoption Fair value after adoption Assets Fixed income securities trading¹ 576 576 Liabilities Liabilities for life and health policy benefits 108 40 148 1 Prior to the election of the fair value option, the investment was reported in other invested assets. The net impact on retained earnings from the fair value elections described above was an increase of CHF 33 million and a decrease of CHF 40 million, respectively. 22 Swiss Re First Quarter 2008 Report