Swiss Re Group Second Quarter 2012 Report

Swiss Re Group Second Quarter 2012 Report

Key information Financial highlights (unaudited) For the three months ended 30 June USD millions, unless otherwise stated 2011 2012 Change in % Group Net income attributable to common shareholders 960 83 91 Premiums earned and fee income 5 386 6126 14 Earnings per share in CHF 2.55 0.12 Shareholders equity (31.12.2011/30.06.2012) 29 590 31 016 5 Return on equity1 in % (annualised) 15.6 1.1 Return on investments in % (annualised) 3.9 4.5 Number of employees2 (31.12.2011/30.06.2012) 10 788 11 035 2 Property & Casualty Reinsurance Net income attributable to common shareholders 385 717 86 Premiums earned and fee income 2 395 2831 18 Combined ratio in % 78.1 81.0 Return on equity1 in % (annualised) 17.0 27.0 Life & Health Reinsurance Net income attributable to common shareholders 525 248 53 Premiums earned and fee income 2 119 2159 2 Benefit ratio in % 72.4 73.8 Return on equity1 in % (annualised) 31.5 12.7 Corporate Solutions Net income attributable to common shareholders 52 26 50 Premiums earned and fee income 439 536 22 Combined ratio in % 99.5 110.4 Return on equity1 in % (annualised) 9.8 4.1 Admin Re Net income/loss attributable to common shareholders 26 916 Premiums earned and fee income 431 599 39 Return on equity1 in % (annualised) 1.8 52.6 1 Return on equity is calculated by dividing annualised net income attributable to common shareholders by average common shareholders equity. 2 Regular staff Share price (CHF) 160 140 120 100 80 60 40 20 0 2007 2008 2009 2010 Swiss Re Swiss Market Index STOXX Europe 600 Insurance Index 2011 2012 Financial strength ratings As of 31 July 2012 S&P Moody s A.M. Best Rating AA A1 A+ Outlook stable positive stable Share information As of 31 July 2012 Share price in CHF 61.35 Market capitalisation in CHF millions 21 080 Share performance in % 1 January 2007 31 July 2012 (p.a.) Year to 31 July 2012 Swiss Re 9.0 28.2 Swiss Market Index 5.5 7.8 STOXX Europe 600 Insurance Index 11.2 10.4

Content 02 Letter to shareholders 04 Key events 06 Group results 08 Reinsurance 08 Property & Casualty Reinsurance 09 Life & Health Reinsurance 10 Corporate Solutions 11 Admin Re 12 Outlook 91 General information 91 Note on risk factors 98 Cautionary note on forwardlooking statements 14 Financial statements 14 Income statement 15 Statement of comprehensive income 16 Balance sheet 18 Statement of equity 20 Statement of cash flow 23 Notes to the Group financial statements 23 Note 1 Organisation and summary of significant accounting policies 25 Note 2 Investments 31 Note 3 Fair value disclosures 49 Note 4 Derivative financial instruments 54 Note 5 Deferred acquisition costs (DAC) and acquired present value of future profits (PVFP) 56 Note 6 Assets held for sale 58 Note 7 Debt and contingent capital instruments 60 Note 8 Insurance information 69 Note 9 Premiums written 70 Note 10 Earnings per share 71 Note 11 Benefit plans 72 Note 12 Information on business segments 86 Note 13 Variable interest entities Swiss Re Ltd Swiss Re Ltd is the holding company of the Swiss Re Group. Its shares are listed on the SIX Swiss Exchange and trade under the symbol SREN. Swiss Re Second Quarter 2012 Report 1

Letter to shareholders This result reflects the strength and resilience of our underlying earnings power. Dear shareholders We are pleased to report a profit of USD 83 million in the second quarter of 2012. Given the impact from the sale of the Admin Re US business, this result reflects the strength and resilience of our underlying earnings power. We achieved a strong result from our Property & Casualty Reinsurance business and a very good Group return on investment of 4.5%. On the strength of July s successful round of renewals, we will continue to focus on implementing our strategy and capturing growth opportunities through the rest of the year. Shareholders equity stable at USD 31.0 billion Premiums earned and fee income increased by 13.7% to USD 6.1 billion (compared to USD 5.4 billion in the second quarter of 2011), and the Group s combined ratio was 85.7%. Shareholders equity remained largely stable at USD 31.0 billion compared to USD 31.2 billion at the end of the first quarter of 2012. Dividend payments of USD 1.1 billion were mostly offset by unrealised gains. Group return on equity was 1.1%; excluding the Admin Re US sale, it would have been 14.5% in the second quarter. Earnings per share for the quarter were USD 0.12; excluding the Admin Re US sale, they would have been USD 3.22. Book value per common share fell to USD 87.03 or CHF 82.38, compared to USD 87.59 or CHF 79.17 at the end of the first quarter of 2012. Walter B. Kielholz Chairman of the Board of Directors Strength in Reinsurance Net income in Property & Casualty Reinsurance was USD 717 million. This result was helped by low losses from natural catastrophes in the quarter, reserve releases and net investment gains. Premiums earned were USD 2.8 billion, a healthy increase of 18.2% from USD 2.4 billion in the same period of 2011. The combined ratio was 81.0%. Adjusting for natural catastrophes and reserve releases, the underlying combined ratio for the second quarter of 2012 was 94.6%, in line with expectations. Life & Health Reinsurance delivered net income of USD 248 million. Although the result benefited from realised gains on investments, the cost of claims was significantly higher. The result also reflects lower investment income, a continuation of the negative performance of business written in the Americas prior to 2004, and slightly higher expenses due to strategic initiatives, especially in the health area. Consequently, the operating result was lower than expected. Premium and fee income slightly increased to USD 2.2 billion. The benefit ratio increased to 73.8% compared to 72.4% in the same period of 2011. Michel M. Liès Group CEO Corporate Solutions growth plans on track Corporate Solutions posted a quarterly profit of USD 26 million. Premiums earned rose by 22% to USD 536 million, in line with the Business Unit s growth plans. Claims from natural catastrophes and man-made disasters in the quarter were higher than expected, though these were partly offset by investment income. The combined ratio for Corporate Solutions was 110.4%, up from 99.5% in the second quarter of 2011. Admin Re result impacted by loss from sale of US business Admin Re reported a loss of USD 916 million due to the loss of USD 1.0 billion from the sale of the Admin Re US business (REALIC) to Jackson National Life. The sale is expected to be completed in the second half of 2012, at which point it should deliver a USD 0.9 billion dividend to Swiss Re Ltd, unlocking capital for re-deployment across the Swiss Re Group. Admin Re shareholders equity was USD 6.6 billion, down from USD 7.4 billion at the end of the first quarter of 2012, the loss on the sale being partly offset by rising unrealised gains due to lower interest rates in the second quarter. 2 Swiss Re Second Quarter 2012 Report

Letter to shareholders 83 Group net income USD millions 0.12 Earnings per share in CHF 1.1% Annualised return on equity (Group) Successful July renewals in Americas and Australia/New Zealand July represented a successful renewal period focused on the Americas, Australia and New Zealand, when 20% of the Group s reinsurance annual treaty premiums are generated. The Group saw economic rate increases of 3% in this renewal season over last year s already strong levels with overall portfolio volume growth of 7%. Rates continued to rise especially in Cat XL business in the US, and in key markets of Latin America, Australia and New Zealand. We have also been able to take advantage of increasing prices in casualty lines in some markets. We expect this trend to continue. We revised upwards our estimates of premium volume increases for the January and April renewals. Year to date, we estimate that our premium volumes have increased by USD 2.9 billion or 24%. Continued focus on growth in developed and high-growth markets Low interest rates and current economic conditions are creating challenges for many businesses, including Swiss Re s clients. At the same time, underlying growth in high-growth markets remains robust. With our new structure, brand value, strong capitalisation and innovation power, our company is very well positioned to benefit from opportunities in developed and high-growth markets, both in the private and in the public sectors. We are looking to grow our share of business from high-growth markets from the current 15% to 20 25% by 2015. We will make the necessary investments to achieve this shift. Profitable growth in these markets is a must, as they will play an important role in achieving our five-year financial targets, the Group s top priority. However, we will not neglect our client base in developed markets. We aim to capture profitable growth opportunities wherever they arise. These good results have only been possible through the loyal support of our shareholders and the tireless efforts of Swiss Re s more than 10 000 employees. To both shareholders and employees we offer our sincerest thanks, and our commitment to achieving continued and mutual progress through the rest of 2012 and beyond. Zurich, 9 August 2012 Walter B. Kielholz Chairman of the Board of Directors Michel M. Liès Group CEO Swiss Re Second Quarter 2012 Report 3

Key events 7 May 2012 USD 400 million in natural catastrophe coverage secured Swiss Re Ltd obtains USD 400 million in natural catastrophe protection through a newly formed issuer Mythen Ltd, a flexible programme allowing Swiss Re to cede wind risks in both the US and Europe to the capital markets. 24 May 2012 Swiss Re solidifies position as re-/ insurer of choice for longevity Swiss Re completed a GBP 1.4 billion longevity insurance contract with one of the UK pension funds of Akzo Nobel N.V., written through Swiss Re s subsidiary ReAssure Ltd. The agreement enforces Swiss Re s position as a leader in the longevity market, where it remains the only insurer to have successfully deployed large net capacity to take on longevity risk directly from a pension fund. 31 May 2012 Swiss Re sells US Admin Re company (REALIC) to Jackson National Life Insurance Swiss Re announces the sale of its Admin Re US business (REALIC) to Jackson National Life Insurance, subject to regulatory approval. The transaction follows the strategic priority of unlocking capital and monetising value in Admin Re, supporting Swiss Re s financial targets. 27 June 2012 New Swiss Re sigma study on world insurance Swiss Re s latest sigma study shows that non-life insurance premiums continued to grow in 2011 despite an overall decline in premiums of 0.8% in real terms. Non-life insurance premiums expanded 1.9% in 2011, on the back of solid economic growth in emerging markets and rate increases in some advanced markets. Global life insurance premiums declined 2.7%. Capital and solvency remained solid despite extraordinarily costly natural catastrophe events and historically low interest rates that lowered insurers overall profitability. 3 July 2012 Operating as local reinsurer in Brazil under new leader, Margo Black Margo Black assumes the position of Swiss Re s Head of Reinsurance for Latin America South and President of Swiss Re Brasil Resseguros SA (subject to regulatory filing and related approvals). The company received final approval from SUSEP (Superintendência de Seguros Privados) to operate in Brazil as a local reinsurer on 18 June 2012. Swiss Re Brasil Resseguros SA has begun its operations in Brazil with a capitalisation of BRL 120.5 million (USD 58.5 million at the exchange rate on 19 June 2012) and with Swiss Reinsurance Company Ltd as its shareholder. 4 Swiss Re Second Quarter 2012 Report

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Group results Swiss Re reported a net income of USD 83 million for the second quarter of 2012, compared to a net income of USD 960 million in the prior-year period. Earnings per share were CHF 0.12 or USD 0.12, compared to CHF 2.55 or USD 2.80 in the second quarter of 2011. The Group results in the second quarter of 2012 were significantly impacted by the expected loss related to the announced sale of the Admin Re US holding company (including Reassure America Life Insurance Company, REALIC) to Jackson National Life Insurance Company. The expected loss, updated for changes in the market value of assets, is USD 1 025 million and was recognised in Net realised investment gains/losses in the Group s income statement. The Group benefited from substantial premium growth combined with rising prices and a benign natural catastrophe experience, as well as realised gains on investments and higher contribution from underwriting on the back of prioryear reserve releases. Property & Casualty Reinsurance continued to report strong results in the second quarter of 2012, benefiting from low natural catastrophe losses and successful renewals in the first half of 2012 and positive development of prior-year reserves. Realised gains from investment sales further contributed to a net income of USD 717 million. Life & Health Reinsurance delivered net income of USD 248 million compared to USD 525 million in the second quarter 2011. Although the result benefited from realised gains on investments, the cost of claims was significantly higher. The result also reflects lower investment income, a continuation of the negative performance of business written in the Americas prior to 2004, and slightly higher expenses due to strategic initiatives, especially in the health area. Corporate Solutions delivered net income of USD 26 million, reflecting an above-average number of large losses in the quarter. Admin Re reported a net loss of USD 916 million, which includes the loss on the sale of its Admin Re US operations. Excluding the impact of the sale, Admin Re reported net income of USD 109 million, reflecting positive investment performance and lower expenses. The Group combined ratio was 85.7% in the second quarter of 2012, compared to 81.4% in the same period of the prior year. Return on investments improved to 4.5%, compared to 3.9% for the same period in 2011, mainly driven by higher realised gains on sales of fixed income securities. Shareholders equity remained stable compared to 31 March 2012. Dividend payments of USD 1 134 million were largely offset by unrealised investment gains on government bonds, reflecting falling interest rates during the quarter. For the second quarter of 2012, annualised return on equity was 1.1%, compared to 9.6% for the full year 2011, and 15.6% (annualised) for the second quarter of 2011. Excluding the loss on the sale of Admin Re US, annualised return on equity was 14.5% for the second quarter of 2012. Basic book value per common share was USD 87.03 or CHF 82.38 at the end of June 2012, compared to USD 87.59 or CHF 79.17 at the end of March 2012. Book value per common share is based on common shareholders equity and excludes non-controlling interests and the impact of contingent capital instruments. For information on segment shareholders equity, please see pages 80 81. Second quarter 2012 operating performance Premiums earned for Property & Casualty Reinsurance increased 18% to USD 2.8 billion compared to the prior-year period. The increase reflects successful renewals in 2012 and continued earnings from large quota share treaties written in 2011, notably in Asia. Life & Health Reinsurance premiums and fees increased 2%, driven by higher rates in the Americas and new health business in all regions. Corporate Solutions premiums earned increased 22% to USD 536 million, reflecting strong growth across all major lines of business. The Group s net investment income decreased slightly to USD 1.2 billion, compared to USD 1.3 billion in the same period of the prior year. The Group running yield was 3.5% in the reporting period, compared to 3.8% in the same period of the prior year. Lower yields on new purchases were partly offset by higher income from private equity investments. The Group reported non-participating net realised investment losses of USD 496 million in the second quarter of 2012, compared to gains of USD 245 million in the same period of the prior year. This result includes USD 1 025 million losses on the sale of Admin Re US and was partially offset by net realised gains on sales of fixed income securities of USD 507 million. Property & Casualty Reinsurance claim expenses increased in line with the higher premium volumes compared to the same period of the prior year. The combined ratio of 81.0% reflects a strong underwriting result, combined with benign large loss experience and favourable net reserve development. 6 Swiss Re Second Quarter 2012 Report

Group results Life & Health Reinsurance benefits increased 8% to USD 2.3 billion compared to the prior-year quarter, mainly due to significantly higher cost of claims and adverse development in the pre-2004 US business. The benefit ratio increased slightly to 73.8% in the second quarter of 2012, compared to 72.4% in the same period of 2011. Corporate Solutions was impacted by several large losses, including higher catastrophe and man-made losses compared to the second quarter of 2011. The combined ratio in the reporting period was 110.4%, compared to 99.5% in the same period of the prior year. Returns credited to policyholders reflect the investment performance on the underlying assets, mainly backing unitlinked and with-profit policies, which is passed through to policyholders. In the second quarter of 2012, an investment gain of USD 196 million was passed through to policyholders compared to a loss of USD 559 million in the prior-year period. Acquisition costs for the Group increased 19% to USD 1.2 billion, reflecting higher business volumes across various segments. Administrative expenses were USD 660 million, substantially flat compared to the prior-year period. Other expenses decreased 54% to USD 45 million, mainly driven by lower non-income related tax expenses. Interest expenses were USD 182 million, a decrease of 14% over 2011, mainly due to maturities of debt positions in the current quarter. The Group reported a tax expense of USD 437 million on a pre-tax income of USD 633 million in the second quarter of 2012, compared to an expense of USD 412 million on a pre-tax income of USD 1.5 billion for the same period in 2011. The effective tax rate for the quarter is 69.1%, compared to 28.0% in the prior-year period. The sale of the Admin Re US business is not taxable and therefore there is no tax benefit from the loss. As a result, the effective rate for the quarter is significantly higher than the Group s typical effective tax rate. Income statement USD millions, for the three months ended 30 June 2011 2012 Change in % Revenues Premiums earned 5 157 5904 14 Fee income from policyholders 229 222 3 Net investment income non-participating 1 324 1237 7 Net realised investment gains/losses non-participating 245 496 Net investment result unit-linked and with-profit 434 334 Other revenues 14 88 529 Total revenues 7 403 6621 11 Expenses Claims and claim adjustment expenses 1 336 1 839 38 Life and health benefits 2 081 2 254 8 Return credited to policyholders 559 196 Acquisition costs 1 008 1 204 19 Administrative expenses 635 660 4 Other expenses 98 45 54 Interest expenses 212 182 14 Total expenses 5 929 5988 1 Income before income tax expense 1 474 633 57 Income tax expense 412 437 6 Net income before attribution of non-controlling interests 1 062 196 82 Income attributable to non-controlling interests 102 95 7 Net income after attribution of non-controlling interests 960 101 89 Interest on contingent capital instruments1 0 18 Net income attributable to common shareholders 960 83 91 1 Please refer to Note 7 and Note 10 for details on the impact of the contingent capital instruments on earnings. Swiss Re Second Quarter 2012 Report 7

Reinsurance The Reinsurance Business Unit reports the segments Property & Casualty Reinsurance and Life & Health Reinsurance. Property & Casualty Reinsurance Net income for the second quarter of 2012 increased to USD 0.7 billion, compared to USD 0.4 billion in the second quarter of 2011, supported by strong underwriting results due to prior-year reserve releases and lower than expected natural catastrophe losses. The increase in net income was driven by favourable foreign exchange rate movements and realised investment gains from government bond sales. Net premiums earned Net premiums earned increased 18.2% to USD 2.8 billion in the second quarter of 2012, compared to USD 2.4 billion in the same period of 2011. The strong growth in premiums earned was mainly driven by large capital relief quota shares written in the second half of 2011 as well as in the January 2012 renewals. Combined ratio Property & Casualty Reinsurance maintained a very strong combined ratio of 81.0% in the second quarter of 2012, compared to 78.1% in the prior-year period. Both reporting periods benefited from net reserve releases from prior accident years and better than expected natural catastrophe experience. The impact from natural catastrophes in the second quarter of 2012 was 2.7 percentage points below the expected level, and the favourable development of prior accident years improved the 2012 combined ratio by 10.9 percentage points. Expense ratio The expense ratio decreased to 9.2% in the second quarter of 2012 compared to 13.9% in the same period of 2011. This was mainly driven by the strong premium growth year on year, and by lower non-income-related tax expenses in the second quarter of 2012. Lines of business The property combined ratio remained stable at 78.9% in the second quarter of 2012, compared to 78.7% in the second quarter of 2011, supported by better than expected natural catastrophe experience and favourable prior-year development. The casualty combined ratio was 88.2% in the second quarter of 2012, compared to 82.3% in the second quarter of 2011. Both quarters benefited from significant net reserve releases from prior accident years. The specialty combined ratio improved slightly to 68.3% in the second quarter of 2012, compared to 70.7% in the same period of 2011, driven by lower claims. Investment result Net investment income decreased USD 45 million to USD 428 million in the second quarter of 2012, driven by a decline in the average investment base and lower earned yields, reflecting the current challenging investment environment. This was partly offset by favourable markto-market valuations on private equity investments in the second quarter of 2012. Realised investment gains and losses changed from a loss of USD 148 million in the second quarter of 2011 to a gain of USD 132 million in the second quarter of 2012, mainly as a result of realised gains from government bond sales and favourable movements in foreign exchange rates year on year. This was partly reduced by derivative losses due to declining rates in the second quarter of 2012. As a result of this, the annualised return on investment improved to 4.2% in the second quarter of 2012, compared to 1.6% in the same period of 2011. Return on equity The annualised return on equity for the second quarter of 2012 was 27.0%. The strong performance was attributable to the strong underwriting result and realised investment gains. Outlook Swiss Re has benefited from growth in the portfolio, and is well positioned to continue to support clients in both developed and high growth markets, leveraging on its balance sheet strength, capacity and expertise in structuring large and bespoke transactions. 8 Swiss Re Second Quarter 2012 Report

Reinsurance Life & Health Reinsurance Net income decreased to USD 248 million in the second quarter of 2012 from USD 525 million in the second quarter of 2011. Although the result benefited from realised gains on investments, the cost of claims was significantly higher. The result also reflects lower investment income, a continuation of the negative performance of business written in the Americas prior to 2004, and slightly higher expenses due to strategic initiatives, especially in the health area. Net premiums earned Premiums earned and fee income increased 1.9% to USD 2.2 billion in the second quarter of 2012, compared to USD 2.1 billion in the second quarter of 2011. The increase was primarily a result of higher rates related to the Americas business as well as increased health premiums due to business growth in all regions. Benefit ratio The benefit ratio was 73.8% in the second quarter of 2012 compared to 72.4% in the same period of the prior year. The increase was primarily due to higher claims and continued lapses from the pre-2004 US business. Expense ratio The management expense ratio increased to 8.0% in the reporting period from 7.0% in the second quarter of 2011. The increase was primarily due to higher expenses related to new growth initiatives in the health business. Lines of business A diversified geographical business mix and a continued disciplined pricing approach provided for a stable underlying business result; however, volatile financial markets and changes in the interest rate environment impacted both the life and the health individual segment results. Operating income for traditional life business decreased to USD 104 million in the second quarter of 2012 from USD 173 million in the previous year. The result was driven primarily by unfavourable experience from pre-2004 US business, losses from B36 embedded derivatives primarily due to a decrease in interest rates, partly offset by an improvement in variable annuities. Operating income for the traditional health business decreased to USD 116 million in the second quarter of 2012, compared to USD 189 million in the second quarter of 2011. The result was driven by unfavourable morbidity experience, lower investment income, increased acquisition costs due to business growth, as well as higher administrative expenses, offset by favourable cedent updates. Investment result The investment return was 5.7% in the second quarter of 2012. Realised investment gains were USD 280 million in the second quarter of 2012 compared to USD 333 million in the prior year. The decrease was due to an increase in realised gains in the current year partly reduced by unfavourable foreign exchange movements in the current year. Return on equity The annualised return on equity was 12.7% for the second quarter of 2012, compared to 31.5% in the second quarter of 2011. The very high return on equity in the prior-year period was primarily due to high realised gains on government bonds and foreign exchange. Outlook Growth in the traditional life business is expected to be muted as cession rates are expected to decrease as primary insurers retain more risk. The low interest rate environment will also continue to have an unfavourable impact on long-term life business. In this environment Life & Health Reinsurance aims to proactively manage the pre-2004 US business in order to improve profitability, write new business (including through large transactions and in high growth markets at attractive rates) as well as hedge its mortality risk by diversifying into longevity risk. Furthermore, Swiss Re is planning to offer its solutions and services in several attractive, growing markets where major demographic and socio-economic trends are escalating demand for health insurance, including in Asia. Swiss Re Second Quarter 2012 Report 9

Corporate Solutions Net income was USD 26 million in the second quarter of 2012, a decrease of 50% compared to net income of USD 52 million in the same period of 2011. The result was driven by a deterioration in the technical result due to a number of large losses in the quarter despite solid premium growth. This compares to the same period of 2011, which saw a more positive development of prior-year reserves and comparatively lower losses in the quarter. Net income benefited year on year from higher realised gains on investments which were partially offset by lower net investment income due to lower yields and on derivative-accounted weather and natural catastrophe business. Net premiums earned Net premiums earned increased 22% to USD 536 million in the second quarter of 2012, compared to USD 439 million in the same period of 2011. This increase was driven by successful growth across all major lines of business. Combined ratio The combined ratio deteriorated by 10.9 percentage points to 110.4% in the second quarter of 2012 from 99.5% in the same period of 2011. The drivers for this were the same as mentioned above for the technical result. The expense ratio decreased to 32.3% in the second quarter of 2012, compared to 34.2% in the same period of 2011, on the back of higher premium volumes. Lines of business The property combined ratio deteriorated by 41.4 percentage points to 123.8% in the second quarter of 2012, reflecting significantly higher natural catastrophe and man-made losses. The casualty combined ratio improved 24.7 percentage points to 100.0% in the second quarter of 2012, mainly due to the absence of prior-year reserve development in 2012. The credit combined ratio was 94.6% in the second quarter of 2012, compared to 49.0% in the same quarter of 2011, mainly driven by a single loss in Australia. In other specialty, the combined ratio deteriorated slightly to 112.8% in the second quarter of 2012, compared to 110.2% in the second quarter of 2011. Both periods were impacted by satellite losses. Investment result Return on investments increased slightly to 3.8% in the second quarter of 2012 from 3.7% in the same period of 2011. While net investment income was down slightly as a result of lower yields, this was more than offset by realised gains on asset sales. Realised insurance derivative gains (not included in return on investments) were down slightly at USD 23 million in the second quarter of 2012, compared to realised gains of USD 25 million in the same period of 2011. These contracts offer protection against weather perils and other risks related to insurance, but are accounted for as derivatives. Return on equity Annualised return on equity decreased to 4.1% in the second quarter of 2012, compared to 9.8% in the prior-year period. Outlook Although a full commercial property and casualty cycle turn may not occur for some time, pricing trends are gaining positive momentum, with some industry segments and geographies showing pronounced improvements. According to a recent survey casualty prices for mid-year renewals were up 2% in the US, their first increase since 2004; the corresponding increase for property was 4%. In Europe the market remains very competitive, at the same time brokers and risk managers are more concerned about the credit quality of some of their local insurers hit by the sovereign debt crisis. Corporate Solutions believes it is well positioned to capture opportunities thanks to its value proposition and expanding geographic reach. 10 Swiss Re Second Quarter 2012 Report

Admin Re In May 2012, Swiss Re announced that it had agreed to sell its Admin Re US holding company, including Reassure America Life Insurance Co. (REALIC), to Jackson National Life Insurance Co., subject to regulatory approval and other pre-closing conditions. The sale is expected to close in the second half of 2012, with Swiss Re expecting to receive cash consideration of USD 0.6 billion together with a pre-closing dividend of USD 0.3 billion for total cash proceeds of USD 0.9 billion. Admin Re will retain certain blocks of the US business, mainly corporate-owned life insurance and traditional life and annuity products reinsured through other Swiss Re entities. The Admin Re net loss in the second quarter of 2012 amounted to USD 916 million. Excluding the USD 1 025 million loss related to the announced sale of Admin Re US, net income was USD 109 million compared to USD 26 million in the prioryear period. The increase in underlying net income resulted mainly from a one-time release of reserves in the UK, gains on embedded reinsurance derivatives and lower expenses, partially offset by lower performance of unit-linked business in the UK along with adverse mortality experience in the US. Operating revenues Premiums and fee income were USD 599 million in the second quarter of 2012, compared to USD 431 million in the prior-year period. The increase was mainly due to recognition of accelerated premiums for a retained block of business in the US, with this entirely offset by an increase in claims reserves. Excluding the impact of the acceleration, premiums and fees were marginally lower compared to the prior-year period. Gross cash generation The Admin Re business generated gross cash of USD 17 million for the second quarter of 2012, compared to USD 76 million in the second quarter of 2011. The reduction was mainly due to a decline in available capital on a retained block of business in the US and increased UK capital requirements due to lower interest rates. These adverse impacts were partially offset by a net tax benefit driven by the release of a tax valuation allowance. Investment result The annualised investment return was 4.3% for the second quarter of 2012, compared to 4.7% in the prior-year period. The reduction was mainly a result of lower investment income from lower yields. Proprietary net investment income increased to USD 413 million in the second quarter of 2012, compared to USD 406 million in the second quarter of 2011. The annualised return does not include the effects from the sale of Admin Re US. Expenses Administrative expenses were USD 101 million in the second quarter of 2012, a decrease of USD 25 million compared to the second quarter of 2011. The reduction reflects lower costs associated with corporate realignment, partially offset by costs associated with the integration of the Alico business, which was acquired in the second half of 2011. Return on equity The annualised return on equity was 52.6% due to the loss related to the announced sale of Admin Re US. Excluding the loss on disposal, the annualised return on equity was 5.8% for the second quarter of the year, 4.0 percentage points higher than in the prior-year period. Shareholders equity Shareholders equity, which excludes non-controlling interests, decreased by USD 763 million to USD 6 590 million compared to 31 March 2012. The decrease was mostly due to the loss of USD 1 025 million as a result of the announced sale of Admin Re US, partially offset by unrealised gains arising in the period as a result of lower interest rates. Outlook Admin Re sees attractive growth potential in the UK and Continental Europe and will continue to explore new opportunities that meet internal investment criteria and thus contribute to Swiss Re s financial targets to deliver on its strategic aim of being a recognised force in the closed life book business in these markets. On completion of the sale of Admin Re US, the cumulative US GAAP loss is expected to reduce due to the recognition of previously unrealised gains in the income statement. Swiss Re Second Quarter 2012 Report 11

Outlook The Swiss Re Group delivered a profit in the second quarter. Given the impact from the sale of the Admin Re US business, this result shows the strength and resilience of its underlying earnings power. With another successful renewal round in July, the Group will continue to focus on implementing its strategy and capturing growth opportunities in mature as well as highgrowth markets in the second half of the year and beyond. All business units are focused on reaching the Group s fiveyear financial targets. 12 Swiss Re Second Quarter 2012 Report

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Financial statements Income statement (unaudited) Three months ended 30 June Six months ended 30 June USD millions Note 2011 2012 2011 2012 Revenues Premiums earned 8 5 157 5904 10 039 11 883 Fee income from policyholders 8 229 222 450 451 Net investment income non-participating 2 1 324 1237 2 491 2444 Net realised investment gains/losses non-participating (total impairments for the three months ended 30 June were 71 in 2011 and 34 in 2012, of which 29 and 25, respectively, were recognised in earnings)1 2 245 496 415 270 Net investment result unit-linked and with-profit 2 434 334 656 983 Other revenues 14 88 25 100 Total revenues 7 403 6621 14 076 15 591 Expenses Claims and claim adjustment expenses 8 1 336 1 839 4 856 3 840 Life and health benefits 8 2 081 2 254 4 109 4377 Return credited to policyholders 559 196 922 1 200 Acquisition costs 8 1 008 1 204 1 894 2 313 Other expenses 733 705 1 308 1 422 Interest expenses 212 182 431 374 Total expenses 5 929 5988 13 520 13 526 Income before income tax expense 1 474 633 556 2065 Income tax expense 412 437 138 700 Net income before attribution of non-controlling interests 1 062 196 418 1365 Income attributable to non-controlling interests 102 95 123 120 Net income after attribution of non-controlling interests 960 101 295 1245 Interest on contingent capital instruments 0 18 0 21 Net income attributable to common shareholders 960 83 295 1224 Earnings per share in USD2 Basic 10 2.80 0.12 0.86 3.20 Diluted 10 2.74 0.12 0.86 3.06 Earnings per share in CHF3 Basic 10 2.55 0.12 0.78 2.97 Diluted 10 2.50 0.12 0.78 2.84 1 Total impairments for the six months ended 30 June were USD 199 million in 2011 and USD 138 million in 2012, of which USD 116 million and USD 104 million, respectively, were recognised in earnings. 2 Group earnings per share for the three months and six months ended 30 June 2012 includes a loss of USD 126 million recognised in relation to a put/call option on a noncontrolling interest, resulting in a negative earnings per share for the three months ended 30 June 2012. 3 The translation from USD to CHF is shown for informational purposes only and has been calculated at the Group s average exchange rates for the three and six months ended 30 June 2011 and 2012, respectively. The accompanying notes are an integral part of the Group financial statements. 14 Swiss Re Second Quarter 2012 Report

Financial statements Statement of comprehensive income (unaudited) Three months ended 30 June Six months ended 30 June USD millions 2011 2012 2011 2012 Net income before attribution of non-controlling interests 1 062 196 418 1365 Other comprehensive income, net of tax: Change in unrealised gains/losses (tax: for the three months ended 30 June 179 in 2011 and 402 in 2012; for the six months ended 30 June 2 in 2011 and 96 in 2012) 487 1122 42 342 Change in other-than-temporary impairment (tax: for the three months ended 30 June 8 in 2011 and 3 in 2012; for the six months ended 30 June 5 in 2011 and 31 in 2012) 17 4 12 58 Change in foreign currency translation (tax: for the three months ended 30 June 36 in 2011 and 114 in 2012; for the six months ended 30 June 175 in 2011 and 63 in 2012) 161 155 392 20 Change in adjustment for pension benefits (tax: for the three months ended 30 June 2 in 2011 and 3 in 2012; for the six months ended 30 June 3 in 2011 and 2 in 2012) 2 9 4 10 Total comprehensive income before attribution of non-controlling interests 1 725 1176 868 1795 Interest on contingent capital instruments 18 21 Attribution of value to option on redeemable non-controlling interest1 126 126 Comprehensive income attributable to non-controlling interests 102 95 123 120 Total comprehensive income attributable to common shareholders 1 623 937 745 1528 1 In 2000, Swiss Re and the shareholders of New California Holdings, Inc. entered into a put/call agreement for the acquisition of New California Holdings, Inc. by Swiss Re. The put/call agreement was considered a redeemable non-controlling interest however a value was not assigned to this instrument as the exercise was contingent on several items occurring to complete the transaction. During the second quarter of 2012, the majority of the contingencies had been resolved and the exercise of the put/call at the predetermined price became probable. In accordance with US GAAP requirements, the difference between the carrying value of the minority interest and the redemption price, USD 126 million, was recorded against shareholders equity and as a reduction in the net income attributable to common shareholders for the purposes of calculating earnings per share. The accompanying notes are an integral part of the Group financial statements. Swiss Re Second Quarter 2012 Report 15

Financial statements Balance sheet (unaudited) Assets USD millions Note 31.12.2011 30.06.2012 Investments 2, 3, 4 Fixed income securities: Available-for-sale, at fair value (including 7 034 in 2011 and 10 881 in 2012 subject to securities lending and repurchase agreements) (amortised cost: 86 984 in 2011 and 84 960 in 2012) 93 770 92224 Trading (including 620 in 2011 and 425 in 2012 subject to securities lending and repurchase agreements) 3 453 1976 Equity securities: Available-for-sale, at fair value (including 45 in 2011 and 6 in 2012 subject to securities lending and repurchase agreements) (cost: 1 907 in 2011 and 1 969 in 2012) 1 960 2100 Trading 571 623 Policy loans, mortgages and other loans 5 640 5586 Investment real estate 645 676 Short-term investments, at amortised cost which approximates fair value (including 87 in 2011 and 1 291 in 2012 subject to securities lending and repurchase agreements) 13 660 14 151 Other invested assets 20 176 20689 Investments for unit-linked and with-profit business (including fixed income securities trading: 4 095 in 2011 and 4 233 in 2012, equity securities trading: 16 182 in 2011 and 16 447 in 2012) 22 349 22879 Total investments 162 224 160 904 Cash and cash equivalents (including 36 in 2011 and 563 in 2012 subject to securities lending) 11 407 15 207 Accrued investment income 1 220 1119 Premiums and other receivables 11 441 13 814 Reinsurance recoverable on unpaid claims and policy benefits 11 837 11 845 Funds held by ceding companies 9 064 10 230 Deferred acquisition costs 5 3 923 3980 Acquired present value of future profits 5 4 226 3467 Goodwill 4 051 4036 Income taxes recoverable 720 685 Other assets 5 786 6498 Total assets 225 899 231 785 The accompanying notes are an integral part of the Group financial statements. 16 Swiss Re Second Quarter 2012 Report

Financial statements Liabilities and equity USD millions Note 31.12.2011 30.06.2012 Liabilities Unpaid claims and claim adjustment expenses 64 878 64096 Liabilities for life and health policy benefits 3 39 044 39128 Policyholder account balances 34 162 34511 Unearned premiums 8 299 11 085 Funds held under reinsurance treaties 2 436 3623 Reinsurance balances payable 3 962 4413 Income taxes payable 442 414 Deferred and other non-current taxes 2 853 3261 Short-term debt 7 4 127 2958 Accrued expenses and other liabilities 17 868 19 782 Long-term debt 7 16 541 15 528 Total liabilities 194 612 198 799 Equity Contingent capital instruments 0 1102 Common stock, CHF 0.10 par value 2011: 370 706 931; 2012: 370 706 931 shares authorised and issued1 35 35 Additional paid-in capital 8 985 7672 Treasury shares, net of tax 1 096 963 Accumulated other comprehensive income: Net unrealised investment gains/losses, net of tax 4 223 4565 Other-than-temporary impairment, net of tax 118 60 Cumulative translation adjustments, net of tax 3 941 3 921 Accumulated adjustment for pension and post-retirement benefits, net of tax 775 765 Total accumulated other comprehensive income 611 181 Retained earnings 22 277 23351 Shareholders equity 29 590 31 016 Non-controlling interests 1 697 1970 Total equity 31 287 32986 Total liabilities and equity 225 899 231 785 1 Please refer to Note 1 Organisation and summary of significant accounting policies and Note 10 Earnings per share for details on the number of shares authorised and issued. The accompanying notes are an integral part of the Group financial statements. Swiss Re Second Quarter 2012 Report 17

Financial statements Statement of equity (unaudited) For the twelve months ended 31 December 2011 and the six months ended 30 June 2012 USD millions 2011 2012 Contingent capital instruments Balance as of 1 January 0 0 Issued 1102 Balance as of period end 0 1102 Common shares Balance as of 1 January 35 35 Issue of common shares Balance as of period end 35 35 Additional paid-in capital Balance as of 1 January 10 530 8985 Contingent capital instruments issuance costs 18 Share-based compensation 87 75 Realised gains/losses on treasury shares 423 86 Dividends on common shares1 1 035 1 134 Balance as of period end 8 985 7672 Treasury shares, net of tax Balance as of 1 January 1 483 1 096 Purchase of treasury shares 261 113 Issuance of treasury shares, including share-based compensation to employees 648 246 Balance as of period end 1 096 963 Net unrealised gains/losses, net of tax Balance as of 1 January 1 042 4223 Other changes during the period 3 181 342 Balance as of period end 4 223 4565 Other-than-temporary impairment, net of tax Balance as of 1 January 169 118 Other changes during the period 51 58 Balance as of period end 118 60 Foreign currency translation, net of tax Balance as of 1 January 3 742 3 941 Other changes during the period 199 20 Balance as of period end 3 941 3 921 Adjustment for pension and other post-retirement benefits, net of tax Balance as of 1 January 522 775 Change during the period 253 10 Balance as of period end 775 765 Retained earnings Balance as of 1 January 19 651 22277 Net income after attribution of non-controlling interests 2 626 1245 Interest on contingent capital instruments, net of tax 21 Cumulative effect of adoption of ASU 2010-262, net of tax 24 Attribution of value to option on redeemable non-controlling interest3 126 Balance as of period end 22 277 23351 Shareholders equity 29 590 31 016 Non-controlling interests Balance as of 1 January 1 564 1697 Change during the period 39 27 Income attributable to non-controlling interests 172 120 Attribution of value to option on redeemable non-controlling interest3 126 Balance as of period end 1 697 1970 Total equity 31 287 32986 18 Swiss Re Second Quarter 2012 Report

Financial statements 1 Dividends to shareholders were paid in the form of a withholding tax-exempt repayment of legal reserves from capital contributions. 2 The Group adopted a new accounting guidance, ASU 2010-26 Accounting for Costs Associated with Acquiring or Renewing Insurance Contracts as of 1 January 2012, which required the release of USD 24 million of deferred acquisition costs against retained earnings. Refer to Note 5 for more details on the adoption of ASU 2010-26. 3 In 2000, Swiss Re and the shareholders of New California Holdings, Inc. entered into a put/call agreement for the acquisition of New California Holdings, Inc. by Swiss Re. The put/call agreement was considered a redeemable non-controlling interest however a value was not assigned to this instrument as the exercise was contingent on several items occurring to complete the transaction. During the second quarter of 2012, the majority of the contingencies had been resolved and the exercise of the put/call at the predetermined price became probable. In accordance with US GAAP requirements, the difference between the carrying value of the minority interest and the redemption price, USD 126 million, was recorded against shareholders equity and as a reduction in the net income attributable to common shareholders for the purposes of calculating earnings per share. The accompanying notes are an integral part of the Group financial statements. Swiss Re Second Quarter 2012 Report 19

Financial statements Statement of cash flow (unaudited) For the six months ended 30 June USD millions 2011 2012 Cash flows from operating activities Net income attributable to common shareholders 295 1224 Add net income attributable to non-controlling interests 123 120 Adjustments to reconcile net income to net cash provided/used by operating activities: Depreciation, amortisation and other non-cash items 1 241 1894 Net realised investment gains/losses 643 276 Change in: Technical provisions, net 3 130 688 Funds held by ceding companies and other reinsurance balances 1 999 1 940 Reinsurance recoverable on unpaid claims and policy benefits 674 75 Other assets and liabilities, net 582 1 218 Income taxes payable/recoverable 478 511 Income from equity-accounted investees, net of dividends received 240 261 Trading positions, net 1 381 115 Securities purchased/sold under agreement to resell/repurchase, net 82 1488 Net cash provided/used by operating activities 1 636 2270 Cash flows from investing activities Fixed income securities: Sales and maturities 66 624 66761 Purchases 64 554 61 807 Net purchase/sale/maturities of short-term investments 7 381 787 Equity securities: Sales 748 556 Purchases 2 496 591 Cash paid/received for acquisitions/disposal of reinsurance transactions, net 6 4 Net purchases/sales/maturities of other investments 89 53 Net cash provided/used by investing activities 7 786 4075 Cash flows from financing activities Issuance/repayment of long-term debt 373 308 Issuance/repayment of short-term debt 8 352 2 022 Proceeds from the issuance of contingent capital instruments, net of issuance cost 1084 Purchase/sale of treasury shares 209 113 Dividends paid to shareholders 1 035 1 134 Net cash provided/used by financing activities 9 969 2 493 Total net cash provided/used 547 3852 Effect of foreign currency translation 410 52 Change in cash and cash equivalents 137 3800 Cash and cash equivalents as of 1 January 16 928 11 407 Cash and cash equivalents as of 30 June 16 791 15 207 Interest paid was USD 681 million and USD 483 million for the six months ended 30 June 2011 and 2012, respectively. The Group has revised the disclosure on interest paid for the six month period ended 30 June 2011, to conform to the 2012 period. The change had no impact on net income, net equity or balance sheet classification of the Group. Tax paid was USD 480 million and USD 203 million for the six months ended 30 June 2011 and 2012, respectively. The accompanying notes are an integral part of the Group financial statements. 20 Swiss Re Second Quarter 2012 Report