FY2007 results 20080229 Final - Swiss Re642623e3-5f07-48e1-8a8c-d6b48b… · Slide 3 ab Annual results 2007 Analysts' meeting Zurich, 29 February 2008 Today’s agenda Business performance

abAnnual results 2007Analysts’ meeting, 29 February 2008

Slide 2

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Annual results 2007Analysts' meetingZurich, 29 February 2008

Today’s agenda

Business performanceGeorge Quinn, CFO

Results summary, strategy update and targetsJacques Aigrain, CEO

IntroductionSusan Holliday, Head IR

Questions & answers

Slide 3

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Today’s agenda


Questions & answers



Slide 4

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Full-year 2007 resultsSummary

Performance

Quality

Shareholders’ equity, returns,buy-back

Net income of CHF 4.2 billion, down 9% (Q4 CHF 0.2 billion), EPS of CHF 11.95, down 11%

Excellent operating performance in Property & Casualty and Life & Health

Property & Casualty operating income up 6%, combined ratio 90.2%

Life & Health operating income up 76%, return on operating revenues 14.7%

Solid investment result, RoI 4.9% vs. 5.0% in 2006, net unrealised gains increased by CHF 0.8 billion

Structured CDS m-t-m no significant change to 31 December 2007

Shareholders’ equity CHF 31.9 billion and book value per share CHF 92.00, up 7% in 2007

Annualised RoE 13.5% vs. 16.3% in 2006 (Q4 RoE 2.1%)

Dividend proposed CHF 4.00 per share, up 18%

Total capital returned to shareholders of CHF 3.7 billion in 2007 (CHF 1.2 billion dividend, CHF 2.6 billion buy-back)

Slide 5

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The road ahead – strategic direction

Our aspiration

To be the leading force in the risk transfer industry, combining professional resources and skills with customer focus to deliver economic profit growth

Best-in-class customer service

Higher sustainable shareholder

returns

Generate economic profit growth

Reduce earnings volatility

Enlarge market scope

Talent, culture and organisational efficiency

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The roadmap – our vision

Be the port of call for managing all insurable risks, irrespective of origination channel

Be a bolder principalto ensure focus on profitable business and investment opportunities

Establish leadership in insurance risk transformation, syndication and trading

Talent and

culture

Slide 7

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VisionEvolution of Swiss Re’s business model

Longevity deal with ZFS

Port of call

Allstate property cat programme

Bolder principal

Berkshire Hathaway quota share

Insurance risk transformation, syndication and trading

Talent and cultureSwiss Re Academy

Slide 8

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Quota shareKey terms

20% quota share incepting 1 January 2008 for new and renewed P&Cbusiness only

5-year fixed term

Excludes run-off of prior underwriting years

Ceding commission equal to acquisition costs plus fixed 14%

No restrictions on volumes

No right of access to client data

Both parties fully aligned, complete “follow the fortunes“

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Value of quota shareAccretive to RoE and EPS in all modeled scenarios

96% 99%

111%

100% 99%

2008 2009 2010 2011 2012

Mild cycle

Severe cycle

Mild cycle with nat cat event

Average annual impact (2008-12) on …

ScenariosCombined ratio (after quota share)

RoE

+0.5%

EPS

CHF+0.52

+0.7%

RoE

CHF+0.71

EPS

+0.7%

RoE

CHF+0.67

EPS

96%101%

106% 109% 109%

2008 2009 2010 2011 2012

96% 99% 100% 100% 101%

2008 2009 2010 2011 2012

Slide 10

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January renewals Summary

January 2008 renewals of Swiss Re's traditional non-life portfolio showed signs of price softening in most sectors, however, margins in general still at satisfactory levels

Overall, rates decreased by 3%, but achieved prices for both proportional and non-proportional business remain above technical reference price

The average rate decline of 3% is significantly better than the market as a whole where rate declines of up to 20% have been seen

This is due to Swiss Re's disciplined underwriting and careful risk selection reflected in reduction of volume by 12%

Continued shift of portfolio away from proportional

Targeted treaty year combined ratio 96% assuming normal nat cats

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January renewalsContinued focus on disciplined underwriting

Total traditional portfolio

All renewal figures are estimated and calculated at constant foreign exchange rates; includes credit business

100%

78%88%11%

3%-3%

-19%

-4%

0%

20%

40%

60%

80%

100%

120%

Total renewable

01 Jan 2008

Pending Cancelledor

replaced

Renewed Decrease on

renewal

New business/replace-

ment

Pending Estimated outcome

CHF 9.9bn CHF 8.8bn

Changes to loss expectancy and claims inflation-2%Change in share

-5%Decrease on renewed block0%

-3%

Exposure growth

Rates

Slide 12

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Non-proportional

80%

100%

120%

140%

Property Liability Motor A&H Specialty Total

2007 2008Property prices maintained through careful selection

Liability suffered price pressure but renewed at attractive price levels

Motor saw further margin improvement

A&H margins at very favourable levels

Specialty remains profitable

Achieved price as % of technical reference price

Property near technical reference level

Liability faces ongoing pressure on rates

Motor below technical reference price

A&H below technical reference level

Specialty rates fell sharply, although careful selection kept rates above technical reference level

Proportional

80%

100%

120%

140%

Property Liability Motor A&H Specialty Total2007 2008

January renewalsTreaty business profitability still above technical reference price

Achieved price as % of technical reference price

“Specialty” includes marine, engineering and aviation lines, excludes credit (renewed at unchanged rates)

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Financial targetsNew RoE target 14%

13.4911.95

18.00

… 2006 2007 … 2010 …

CAGR 2008-10

15%

Over the cycle, CHF Over the cycleEPS growth RoE

Targets assume normal levels of nat cat losses

New target

14%

16.3%

13.5%

… 2006 2007 …

Target

10%

Old target

13%

Over the cycle targets

EPS growth

10%

RoE

14%

Slide 14

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Today’s agenda




Questions & answers

Slide 15

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Key figuresExcellent underlying performance

-9%4.24.6Net income

-11%11.9513.49Earnings per share (in CHF)

+7%92.0086.21Book value per share (in CHF)

13.5%

31.7

2007+7%29.5Premiums earned

-2.8pts.16.3%Return on equity (in %)

Change 2006CHF bn

0.2

0.49

92.00

7.8

2.1%

Q4 2007

Operating income

+76%2 7191 546Life & Health

n.a.-1 30720Financial Markets (net of investment mgt)

-11%5 1875 856Total

-2 173

5 948

2007

+6%5 613Property & Casualty

+64%-1 323Group items

Change 2006CHF m

550

-1 184

264

1 299

-401

Q4 2007

Slide 16

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Property & Casualty Life & HealthFinancial Markets

Difference between old and new segmental reporting

Financial Services

Proprietary asset mgt

ABS/ILS trading

Credit structuring and trading

Equity derivative trading

Credit reinsurance

ILS underwriting – P&C

ILS underwriting – L&H

Equity derivatives (VA)

Portfolio CDS

Structured CDS

P&C investment return L&H investment return

Underwriting result

Fees, commissions

Also shown as allocation in …

Fees, commissions

in run-off

Net investment gains

Investment return

Net investment gains/losses

Ass

et M

anag

emen

tC

lient

sR

un-o

ff

Slide 17

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Business segment results 2007 (new format)

-8 639

-670-165-505

---

-7 969-

-138-7 831

--

Allocation

-6 499---2 665-3 834Acquisition costs

5 948

-17 532-

-1 633

--12 065

23 48097

-744 458

-18 999

Property & Casualty

4 162Net income

10 6922368 3885 441Net investment income-739-209-1 181863Net realised investment gains/losses302751255Fees, commissions and other revenues

955--955Fee income

42 8741027 33219 929Total revenues

Expenses

-23 177---11 112Claims and claim adjustment expenses and L&H benefits

-2 120---2 120Interest credited to policyholders

-4 077-626--1 313Other expenses-1 814-1 649--Interest expenses

-37 687-2 275--17 210Total expenses

2 719

12 665

Life & Health

-2 173

-

Group Items

Revenues

-1 025Income tax expense5 1877 332Operating income/loss before tax

31 664-Premiums earned

TotalFinancial MarketsCHF m

170-94

-1 743

2 974-1 572

62

239

9 508

-5 716-242

-1 034-509

-9 244

264

7 805

Total Q4 2007

Slide 18

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5 613 5 94818 541 18 999

20072006

Investment result up 23% benefiting from asset portfolio growth related to Insurance Solutions

20072006

No significant prior year development

Lower than expected nat cat impact about 3.8%

Combined ratio excluding unwind of discount is 88.9%

CHF m

Premiums earned

Property & CasualtyAnother very strong year

20072006

Increase driven by full year inclusion of Insurance Solutions

Partly offset by reductions in casualty lines because of inadequate prices

%

Combined ratio, traditional

90.2%

90.5%

CHF m

Operating income

Change

+2%Change

+6%Change

-0.3pts.

Slide 19

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P&C traditional businessBroad diversification leads to very strong performance

37Total non-traditional

%, operating income in CHF m

5 948

5 911

1 625291

1 334

1 9201 022

790108

2 366

Operating income

90.2%88.9%

90.5%89.6%

Total traditionalexcl. unwind

Positive claims developmentClaims experience better than expected, especially in engineering

75.1%81.0%73.5%

84.9%89.9%83.4%

SpecialtyCreditOther Specialty

Total

P&C traditional combined ratios

118.0%123.9%

94.3%141.1%

68.9%FY 2007

Low nat cat claims in 2007 combined with reserve releases from recent underwriting years

71.2%Property

A&E strengthening and large individual claims from pre-2002Modest releases in line with experienceWorkers comp strengthening consistent with industry trends and longer development patterns

109.3%107.4%

103.5%127.9%

CasualtyLiability

MotorAccident (A&H)

Main drivers of change FY 2006

CR, trad.; %

93.2%91.5%

89.4%

117.7%

65.8%Q4 2007

Slide 20

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15.118.7 2 719

1 546

20072006

Traditional business benefited from one-off effects due to refinements in reserving practice in the UK and the higher investment result

Admin Re® operating income increased by 39% due to new transactions and sale of new business operations of GE Life UK

20072006

The underlying business performed in line with expectations

CHF bn

Operating revenues

Life & Health Strong result across the board

20072006

Increase in operating revenues driven by full year integration of Insurance Solutions and GE UK Life and new business written in all regions

%

Return on operating revenues

CHF bn

Operating income

14.7%

9.2%

Change

+24%

Change

+76%

Change

+5.5pts.

Slide 21

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7 3327 021

0 .0

1 000 .0

2 000 .0

3 000 .0

4 000 .0

5 000 .0

6 000 .0

7 000 .0

8 000 .0

P e rio d 1 P e rio d 2

5.0% 4.9% 4.9%5.4%

Change

+4%

06 0706 07

Solid performance despite difficult market environment

Total return stable

Net unrealised gains increased in 2007 due to impact of lower interest rates on fixed income investments by CHF 757m

20072006

Decrease in expense ratio due to economies of scale and lower variable compensation

CHF m

Operating income

Financial Markets Solid performance, despite impact of isolated SCDS event

20072006

Running yield increased to 5.2%

Excellent result from equities and alternative investments partially offset by credit and rates

Operating income includes CHF 1.3bn loss from mark-to-market on structured credit default swap transactions

bps

Expense ratio1

%

RoI/Total return on inv. assets

39bps

47bps

RoI(US GAAP)

Change

-8bpsTotal return2

(mark-to-market)

1 Proprietary investment expenses (excl. securities lending exp)/average invested assets2 Total return includes change in unrealised gains/losses

Slide 22

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Fixed income securitiesHigh quality portfolio

159.2Balance sheet valuesEnd 2007CHF bn

31%

27%

42%

5.1%5.0%5.2%

6.0%

30

. Jun

07

30

. Sep

07

31

. Dez

07

New

Pur

chas

es

Running yield

Took advantage of market dislocation by adding high quality structured products to increase book yield – focus on AAA and agency paper

Structured products CHF 49.3bn

Government bonds CHF 66.2bn

Corporate bonds CHF 43.7bn

Includes fixed income available for sale and trading, excludes unit-linked securities and short-term investments

Slide 23

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Fixed income securitiesStructured products: Invested in quality

Net combined exposure on and off balance sheet as of 31 December 2007

20%

13%

63%

4%

CMBS 90.6% AAA 8.4% AA - A1.0% < A0.0% NR

Other structured 71.7% AAA12.3% AA - A12.9% < A3.1% NR

RMBS 51.7% Agency38.6% AAA 6.4% AA - A3.1% < A0.2% NR

ABS95.0% AAA 3.2% AA - A1.8% < A0.0% NR

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Wrapped assetsStill highly rated

1 415MBIA

3 299Total

Wrapped assets by insurer/wrapper (market values)

7ACA

832AMBAC

134CIFG

420FGIC

355FSA

136Total wrappedXL Ass.CHF m

AA25.2%

A16.8%

AAA57.7%

< BBB0.3%

1 748885687968Other

Wrapped assets by wrapped rating (market values)

3 299

1 551Total

471145935Sub-prime

1 903

AAA

832

AA

556

A BBB

8

< BBB

Total

CHF m

Total by wrapped rating Estimated 80% investment grade without the wrap

Where monolines are split rated we have used the lower rating in deriving this information

Includes RMBS, CMBS, ABS, CLO, CDO As of 15 February 2008

Slide 25

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Equity securitiesExposure managed by hedging

1 Delta equivalents; including listed equities managed within Alternative Investments

Listed equities exposures1 and overlay program CHF m

Core equity portfolio is a well diversified portfolio of individual names, both long and short, based on fundamental analysis.

Exposure is taken in cash as well as in derivative form

-6%

-4%

-2%

0%

2%

4%

6%

8%

10%

12%

Jan-08Dec-07Nov-07Oct-07Oct-07Sep-07Aug-07

MS

CI W

orld

- W

eekl

y %

Cha

nge

-6 000

-4 000

-2 000

0

2 000

4 000

6 000

8 000

10 000

12 000Ex

posu

res

in C

HF

m

MSCI World (rhs)Equities

OverlayStress Loss (net)

Overlay tailored to Swiss Re’s risk preference while largely retaining upside potential

At the end of November, overlay delta was increased through collars

Since beginning of 2008, equities exposure has been substantially reduced; simul-taneously overlay has been partly dissolved and gains realised on puts in-the-money

Stress loss estimated based on net equity exposure, assuming an immediate drop of 30% in market value

Slide 26

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Fixed income portfolio

Structured CDS

Portfolio CDS

Interest rate overlay and CDS protection bought on corporate bond portfolio both significantly in the money est. > CHF 500 million on 20 February

Estimated market value change to 20 February 2008 is further m-t-m loss of CHF 240 million

Notional exposure as of 20 February 2008 was CHF 21.3 billion, down CHF 31.4 billion from end November. Running off far faster than expected

Update on fixed income and credit

Financial guarantee reinsurance

No significant losses to date. Total technical reserves of CHF 340 million

Swiss Re is exposed positively and negatively to spread movements, interest rate movements, default risk, equity market movements and basis risk on hedges

CDS spreads remain highly volatile

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Shareholders’ equity 2007Increase by 3%

4 162

1 306

88930 884

-2 349-1 162

-2 574

711 31 867

30 000

31 000

32 000

33 000

34 000

35 000

36 000

31 December2006

Net income Sharesrepurchased

Dividendpayment

Conversion ofMCS and sales

of treasuryshares

Foreigncurrency

translationadjustments

Net change inunrealised

gains/losses

Other (incl.adjustment forpensions andFIN 48 effect)

31 December2007

CHF mChange in shareholders’ equity 2007

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Summary and outlookSolid performance – on track for the future

Solid earnings of CHF 4.2bn in 2007

Continuous focus on quality in P&C business, actively managing portfolio mix, targeting 2008 treaty year combined ratio of 96%

Profitable growth in Life & Health expected to continue driven by new products and Admin Re®

Buy-back target now CHF 7.75bn, 36% complete, two years to run

Record CHF 3.7bn in capital returned to shareholders in 2007, CHF 664 million bought back in 2008 offers attractive ‘RoE’

Dividend proposed up 18% to CHF 4.00 per share

EPS growth targeted at 15% CAGR 2008-2010

Over the cycle targets

EPS growth

10%

RoE

14%

Slide 29

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Today’s agenda



Questions & answers


Slide 30

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Appendix

Contents

Group income statementBusiness segment results (old format)Group itemsP&C, L&H (2 slides) and Financial Markets segment results 2007Loss development table (2 slides)Investment portfolioCorporate bond portfolioEquity securitiesTrading securities break-downFinancial Services assets/liabilitiesNet investment incomeNet realised gainsNet unrealised gainsReturn on investments calculationReturn on equity calculation

Shareholders’ equity Q4 2007Swiss Re’s effective capital managementStructured products (2 slides)Structured CDSCorporate Portfolio CDS (2 slides)Financial guarantee reinsuranceNat cat premiums and claimsPer share dataPremiums for 20 largest markets Number of sharesExchange ratesCorporate calendar & contactsCautionary note on forward-looking statements

Slide 31

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Group income statement

7%-6 499-6 079Acquisition costs

-9%4 1624 560Net income

34%10 6927 991Net investment income-7392 106Net realised investment gains

8%302280Other revenues

9%955879Fee income

5%42 87440 771Total revenues

Expenses

8%-23 177-21 393Claims and claim adjustment expenses; L&H benefits

-25%-2 120-2 827Interest credited to policyholders

14%-4 077-3 590Other expenses77%-1 814-1 026Interest expenses

8%-37 687-34 915Total expenses

-1 025 5 187

31 664

2007

Revenues

-21%-1 296Income tax expense-11%5 856Operating income before tax expense

7%29 515Premiums earned

Change 2006CHF m

170-94

-1 743

2 974-1 572

62

239

9 508

-5 716-242

-1 034-509

-9 244

264

7 805

Q4 2007

Slide 32

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Business segment results 2007(old format)

-6 499--381-2 665-3 453Acquisition costs

5 952

-16 609-

-1 518

--11 638

22 561104609

3 986-

17 862

Property & Casualty

4 162Net income

9 197731195 019Net investment income921-11910421Net realised investment gains/losses

-1 025-49-1 080-Trading and other revenues

955--955Fee income

41 712-9519519 051Total revenues

Expenses

-23 177--427-11 112Claims and claim adjustment expenses and L&H benefits

-2 120---2 120Interest credited to policyholders

-4 077-623-662-1 274Other expenses-652-652--Interest expenses

-36 525-1 275-1 470-17 171Total expenses

1 880

12 656

Life & Health

-1 370

-

Other

Revenues

-1 025Income tax expense5 187-1 275Operating income/loss before tax expense

31 6641146Premiums earned

TotalFinancial ServicesCHF m

-1 743

170

2 376230

-1 513

239

9 137

-5 716-242

-1 034-138

-8 873

-94264

7 805

TotalQ4 2007

Slide 33

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61%1 6491 026Interest expenses

-152%59-114Other

64%2 1731 323Interest and other expenses

1%8887Indirect and other taxes

377

2007

16%324Group function expenses

Change 2006CHF m

Group items

Slide 34

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Property & CasualtySegment results 2007

5 948

-17 532-1 633

-3 834-12 065

23 48097

-74

4 45818 999

Total

-172-3 662-1 102-1 417-1 143Acquisition costs

2 366

-4 453-510

-2 800

6 819-7

-171

5336 464

Property Traditional

39-113652Net realised investment gains/losses

-97104-Fees, commissions and other revenues

34841103723 205Net investment income

87622 6045 08210 703Total revenues

Expenses

-568-11 497-2 063-6 634Claims and claim adjustment expenses

-99-1 534-292-732Other operating costs and expenses

-839-16 693-3 457-8 783Total expenses

1 920

7 446

Casualty Traditional

5 911

18 510

Total Traditional

Revenues

371 625Operating income/loss


Non-Traditional

Specialty TraditionalCHF m

Slide 35

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Life & HealthSegment results 2007

-2 120-2 375-255Interest credited to policyholders

8631 078-54-161Net realised investment gains/losses

2 719

-17 210-1 313-2 665

-11 112

19 9295

5 441955

12 665

Total

-372-596-1 697Acquisition costs

1 620

-8 352-684

-6 226

9 9725

1 76948

8 311

Traditional Life

2 948724Net investment income

--Fees, commissions and other revenues

907-Fee income

6 3373 620Total revenues

Expenses-2 647-2 239Claims and claim adjustment expenses; life and health

-470-159Other operating costs and expenses-5 864-2 994Total expenses

626

2 950

Traditional Health

Revenues

473Operating income/loss


Admin Re®CHF m

Slide 36

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Life & Health Very strong traditional business

2 71914.7%9.2%Total

473Funding cost directly attributable to certainAdmin Re® structures, partly offset by gain on sale of new business

9.0%10.6%Admin Re®

%, operating income in CHF m

2 246

626

1 620

Operating income

16.6%8.8%Total traditional

Favourable morbidity in the UK17.0%9.9%Health

L&H return on operating revenues

16.5%FY 2007

Reserves added by GE Insurance Solutions in 2006 had a positive impact on investment incomeValuation refinements and improved mortality in the UK

8.4%LifeMain drivers of change FY 2006

550

180

Op. income;CHF m

370

175

195Q4 2007

Slide 37

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Financial MarketsSegment results 2007

1 Structured CDS, Portfolio CDS

7 332

--

-

7 332125

-1 1818 388

Total

-Acquisition costs

6 606

--

-

6 606125

-1 5187 999

Credit and rates

-1 2941 631Net realised investment gains/losses--Other revenues

-24413Net investment income

-1 3182 044Total revenues

Expenses--Claims and claim adjustment expenses

--Other operating costs--Total expenses

2 044

Equities andalternative

investments

Revenues

-1 318Operating income/loss

Premiums earned

Other1CHF m

Slide 38

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Loss development tableNet claim reserves and re-estimates

Claim reserves as of 31.12.

1 year later

2006

75 254

2 years later

2004

48 379

53 461

52 207

3 years later

2003

47 874

47 727

52 096

51 848

4 years later

2002

45 965

47 047

47 063

51 029

51 259

5 years later

2001

52 265

47 195

47 836

48 200

51 481

51 976

Current reservesplus payments sinceoriginal reportingyear

6 years later

2000

42 398

42 336

40 338

41 120

41 302

42 680

43 015

7 years later

1999

38 031

37 580

36 528

34 750

34 464

34 601

35 643

36 003

8 years later

1998

33 387

34 810

33 648

32 291

30 234

29 536

29 452

30 204

30 483

9 years later

1997

31 767

29 904

30 901

29 233

27 694

25 733

25 419

25 277

25 686

25 967

10 years later

2005

56 549

54 379

Surplus / (deficiency) 5 039 1 906 1 114 (1 167) (525) (5 904) (4 019) (3 442) 3 398 2 575

As a percent of original reserves 15.9% 5.7% 2.9% -2.8% -1.0% -12.8% -8.4% -7.1% 6.0% 3.4%

As a percent of original reserves

Excluding foreign exchange:Surplus / (deficiency)

Original reporting year

26 727

31 481

36 917

43 565

52 790

51 869

51 893

51 820

53 151

72 679

2007

70 260

13.8% 6.1% -6.6% -14.5% -18.4% -18.5% -9.6% -2.9% 0.5% 0.3%

4 397 2 036 (2 513) (6 147) (9 611) (8 524) (4 601) ( 1 381) 270 205

CHF m

Slide 39

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Loss development tableSummary

The impact of prior year development on US GAAP technical results was broadly neutral

The CHF 205 million surplus in claims reserves was largely offset by changes in premium and commission estimates from prior years

The neutral development is the net result of:

Adverse development

US asbestos & environmental

US workers’ compensation

Casualty 99-01 underwriting years

Favourable development

02-06 underwriting years

-948

0

-1 395

-400

100

-1 500

-1 000

-500

0

500

2003 2004 2005 2006 2007

Reserve development since 2003CHF m

Slide 40

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Investment portfolio

194.5

-23.3

217.8End 2006

239.3Balance sheet values

-22.0Unit-linked investments

217.3Balance sheet values (excl. unit-linked)

End 2007CHF bn

6%2%

15%

1%

38%

3%22%

8%

5%Government bondsMortgagesLoans (incl. Policy loans)Corporate bondsStructured productsEquitiesOther investmentsReal estateCash and cash equivalents

5%1%

7%

7%

20%

3%

33%

1%23%

Growth in assets from Admin Re® and longevity partially offset by change in FX rates

Slide 41

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Corporate bond portfolio

7.1%3 126Non Cyclical Consumer Goods2.5%1 100Information Technology

2.7%1 197Cyclical Consumer Goods

100.0%43 726Total

1.2%521Other

3.5%1 523Non Cyclical Services

11.3%4 941General Industrials48.7%21 227Financials13.4%5 876Energy, Utilities & Mining

6.2%2 716Cyclical Services

3.4%1 499Basic Industries

% of Total

TotalIn CHF m

1 435

0

1 435

NR

19 1254 8963 5346 0431 2331 984Net total

-24 601-4 273-8 704-7 057-4 087-480Hedging

43 726

Total

9 169

< BBB

12 238

BBB

13 100

A

5 3202 464Total

AAAAACHF bn

AA12%

A30%

BBB28%

< BBB21%

AAA6%

NR3%

Hedging is presented on a notional basis, however when viewed on an economic basis hedging has a greater impact on the lower investment grades

Slide 42

ab


Equity securities

1 Delta equivalents as of 31 December 2007; incl. listed equities managed within Alternative Investments

Listed equities exposures1

Regional breakdownCHF bn

0.0 2.0 4.0 6.0 8.0 10.0

IT, Telecom

Utilities, Energies

Industrials

Health Care

Consumer Discretionary

Materials

Financials (ex Prop Trusts)

Others

Total Listed Equities

Unhedged Hedged 0.0 2.0 4.0 6.0 8.0 10.0

Europe (ex UK)

UK

North America

Japan

Pacific (exJapan)

Others

Total ListedEquities

Unhedged Hedged

Sector breakdownCHF bn

Slide 43

ab


Trading securities break-down

17 379Unit-linked equity securities classified as Trading

51 793Total fixed income securities classified as Trading

2 137Unit-linked fixed income securities classified as Trading

49 65646 4793 177Fixed income securities classified as Trading (excl. unit-linked)

22 103Total equity securities classified as Trading

4 7242 366 2 358Equity securities classified as Trading (excl. unit-linked)

Securities classified as trading end Q4 2007

18 161

17 986

13 509

Total

18 14416Mortgage and asset-backed securities

15 5972 390Corporate debt securities

771

With-profit

12 738Debt securities issued by governments and government agencies

Other CHF m

Slide 44

ab


Financial Services assets/liabilities

3 909ABS1 883MBS2 875CMBS3 002CMO1 451Other structured2 323Equity and equity related1 753Cat bonds

846Convertible bonds901Commercial paper

FS assets

32 704Total

11 230Corporate bonds2 531Government bonds2007 Trading (CHF m)

123Reverse repos408Securities in transit

1 655Collateral805Due from brokers

1 559Equity and equity-linked2 258Other

19 663Total

4 747Derivatives not qualifying for hedge accounting8 108Longevity related (available-for-sale)2007 Other (CHF m)

362Securities in transit3 628Short selling2 536Securities lending2 051Collateral liabilities

278Other liabilities

FS liabilities

26 248Total liabilities

12 367Repos5 026Derivatives not qualifying for hedge accounting2007 (CHF m)

Slide 45

ab


Net investment income

-12%-528-600Interest paid on cedant deposits

52%-568-373Investment expenses

34%1 9171 427Other asset classes

25%312249Equities

34%10 6927 991Net investment income

12%750670Assets held for linked liabilities

8 809

2007

33%6 618Fixed income

Change 2006CHF m

Running yield on fixed income portfolio increased to 5.2% in 2007

Slide 46

ab


Net realised gains

-61%5121 319Assets held for linked liabilities

248%15344Other asset classes

51%1 280850Equities

-135%-7392 106Total net realised investment gains

680%-476-61Foreign exchange remeasurement and designated trading portfolios1

-2 208

2007

n.a.-46Fixed income

Change2006CHF m

1 The designated trading portfolios are foreign currency denominated trading fixed income securities which back certain foreign currency denominated liabilities

Fixed income losses driven by sales to invest in higher yield securities, m-t-m on participating business and impairments

Net realised gains from equities partially offset by impairments

Other includes cost of derivatives used to hedge financial market and insurance risks and net realised gains from property

-476

-483

7

2007

-61

-257

196

2006

M-t-m

FX

CHF m

Slide 47

ab


Net unrealised gains

970

1 065

2 006

112

45

On BS Off BS

OtherReal estateFixed incomeEquities

1 815

1 2181 720

137

55

On BS Off BS

Net unrealised gains on fixed income increased due to lower interest rates

Figures before hedging

4 945

2007

4 198

2006

Total

CHF m, pre-tax

Slide 48

ab


Return on investments calculation

n.a.-476-61Designated trading portfolios

+68%2 0441 217Equities & alternative investments

-0.1pts.4.9%5.0%Return on investments

n.a.37818 Adjustments1

23%8 562 6 964Basis for RoI20%172 398 143 689 Average invested assetsn.a.3 621-5 012 Timing adjustments1

27%176 019 138 677Average invested assets at average fx rates

6 606

2007at avg FX

+14%5 790Credit and rates

Change 2006

at avg FXCHF m

1 Timing adjustment for Admin Re® transactions and exclusion of third party fee business

Slide 49

ab


Return on equity calculation

31 86730 884Closing equity

30 73628 002Time weighted average equity

31 37627 639Average equity

-640363Time weighted capital movement

13.5%

30 884

4 162

2007

4 560Net income

16.3%Return on equity, annualised

24 393Opening equity

2006CHF m

32 118

31 867

32 369

2.1%

21

32 139

170

Q4 2007

Slide 50

ab


Shareholders’ equity Q4 2007Decrease due to fx movements and share buy-back

170

29

634

458

32 369

-1 324

-469

31 867

30 000

31 000

32 000

33 000

34 000

30 September2007

Net income Sharesrepurchased

Sales of treasuryshares

Foreign currencytranslation

adjustments

Net change inunrealised

gains/losses onsecurities

Other (incl.adjustment for

pensions)

31 December2007

CHF mChange in shareholders’ equity in Q4 2007

Slide 51

ab


Swiss Re’s effective capital management

24.4

30.931.9

2.1

1.6

3.8

3.53.4

3.2

3.1

5.5 7.3

3.3

2.21.4

1.0

0.8

22.6

16.718.5 19.2

2.6

1.0

0.7

0.9

9.9%

6.2%4.1%

2.4% 2.3% 1.9%

12.8%14.4%

13.1%10.8%

13.8%

17.5%

11.0%

15.5%

0

15

30

45

2001 2002 2003 2004 2005 2006 20070%

20%

40%

60%

Senior long-term financial debtHybrid capitalMandatory convertiblesShareholders' equityHybrid to total capitalSenior financial debt to total capital

Swiss Re’s value proposition includes commitment to prudent capital management

At the same time financial flexibility and capital efficiency continue to improve over time

CHF bnCapital structure

Note: Shareholders’ equity figures for 2005, 2006 and 2007 on US GAAP basis

Slide 52

ab


Structured productsRMBS total

As of 31 December 2007

Group has hedged subprime exposures within trading portfolio. Gross notional exposure is CHF 4.3 billion and is hedged using ABX index products. This hedge is designed to reduce risk of loss and effects of m-t-m volatility

Analysis of Structured CDS is excluded from table above and included on slide 54

8 3875 0272 509

851

534

48

887689125

73

1 855830775251

5 5923 5041 561

527

RMBS (ROW)PrimeNon-conformingBuy to let

30 193

211

211

21 59515 598

2 4351 758

2071 596

Total MV

63

10

10

NRBelow AAa-AAaaAgencyCHF m

954

66

5

62

1 91911 65915 598Total

211

211

5 857

2 4301 758

731 596

63

1

63

15 59815 598

RMBS (USD)AgencyNon-agency PrimeAlt-ASub-prime (Cash/CDS)Sub-prime (Wrapped)

RMBS (CAD)AgencyNon-agency PrimeAlt-ASub-prime (Cash/CDS)Sub-prime (Wrapped)

Market value by ratingSector

Slide 53

ab


Structured productsOther total

As of 31 December 2007

Analysis of Structured CDS is excluded from table above and included on slide 54

498498

498498

Project loansProject loans (USD)

91633

883

44

44

235

235

180

180

45733

424

CLOCLO (USD)CLO (ROW)

20934

175

171

17

21

21

473314

123

123

CDOCDO (USD)CDO (ROW)

36079

280

161

15

34478

266

Other structuredOther structured (USD) Other structured (ROW)

17 518

6 2164 550

631 603

9 3205 571

4163 333

Total MV

66

4

4

NRBelow AAa-AAaaAgencyCHF m

463

11328

86

9448

46

1 22015 7690Total

5 9044 400

631 442

8 4425 360

3482 733

780163

67550

CMBSCMBS (USD)CMBS (CAD)CMBS (ROW)

198122

76

ABSABS (USD)ABS (CAD)ABS (ROW)

Market value by ratingSector

Slide 54

ab


Structured CDSNo significant change in market value to 31 December 2007

6289827.01 452Subprime

68.43 732100.05 383TOTAL80591.474Wrapped ABS972424.7250Euro Subprime

853076.7362Alt A/Alt B931 43628.51 536Prime MTG952454.8258Corp CDO

0016.5889ABS CDO9754410.4562CMBS

Market value (% of par value)

Market value (CHF m)

Par value(%)

Par value(CHF m)

Category1

-103.5m-t-m prior to 19 Nov 2007-1 225.8additional m-t-m on 19 Nov 2007

-21.3TOTAL impact 19 Nov to 31 Dec 2007-343.0Subordination

1 651.0Portfolio mark-to-market as at 31 Dec 2007LossesCHF m

As of 31 December 20071 Categories have been adjusted based on detailed review of underlying

Slide 55

ab


10 000

20 000

30 000

40 000

50 000

60 000

Jan-06 Jul-06 Jan-07 Jul-07 Jan-08 Jul-08 Jan-09 Jul-09 Jan-10 Jul-10

Corporate Portfolio CDS Running off at faster rate than expected

Portfolio CDS referencing predominantly large investment grade and SME corporate credit; senior / super-senior risk position

Portfolio CDS run-off well ahead of expectations, resulting in a significantly reduced exposure to date (more than 50% reduction in January 2008)

Expected maturity

Notional exposure to PCDS(CHF m)

Expected maturity profile accounting for structural elements and client call provisions driven by Basel II implementation for originating banks starting January 2008

Expected amortisation profile 11 Dec 2007

Current expected amortisation profile

Slide 56

ab


Expected maturity accounting for structural elements and client call provisions driven by Basel II implementation for originating banks starting January 2008

Corporate Portfolio CDSTransaction structures

Current transactions referencing large corporate credits have experienced portfolio losses to date below CHF 2 million, since deal inception. Subordination not impacted materially

Realised portfolio losses in SME deals to date show insignificant impact on subordination, leaving over 95% of original available subordination

66.81.74159%18.8Large corporate

1.5

0.3

Weighted avg. expected maturity

N/M

881

Weighted avg. number of obligors

25.013%2.5SME corporate

21.3

Notional exposure(CHF bn)

9%

Current weighted avg. subordination

86.6Total

Number of transactions

Reference portfolio primarily to

Weighted avg. legal maturity

22.9

-9.4

67.9

86.6

27.5 26.1 24.3

2001 2002 2003 2004 2005 2006 2007

PCDS net result(CHF m)

Transactions as of 15 February 2008

Slide 57

ab


Financial guarantee reinsurance Exposure breakdown

100%0.0%0.0%10.9%0.0%89.1%Commercial Mortgage (CMBS)

100%100%

100%100%100%100%100%100%100%100%

100%Total

0.0%0.0%

59.6%2.4%0.0%0.0%0.0%

16.5%9.2%0.3%

2.2%< BBB-

43.6%73.8%

30.1%81.3%85.5%71.0%95.3%47.3%63.0%28.0%

35.7%BBB

8.5%5.1%14.3%Structured finance (SF)Public finance (PF)

31.2%17.9%

0.0%0.0%3.1%9.9%0.0%9.3%

42.8%35.3%

A

Future flow receivables

Auto loans

0.0%10.3%Auto rental fleet securitisations2.9%13.4%Operating assets

14.5%10.7%SF Other – InternationalSF Other – US

Student loans

Residential Mortgage (RMBS)- thereof0.0%4.7%

10.4%8.7%11.4%0.0%

1.1%7.2%

Financial Guarantee Re exposure

3.2%23.6%

23.6%3.2%Total notional exposure (TNE)28.8%

AA

0.1%

AAA

- Exposure as of 31 December 2007

- Categories based on cedent classification

6%236

22%4 235

8%3309%398

10%443

15%65612%49311%448

3%136

26%1 096

100%19 31578%

In % of TNE

15 080

Total, CHFm

178US RMBS – Midprime/Alt-A312US RMBS – Closed end 2nd lien

7RMBS – Other44US RMBS – Prime

114US RMBS – Subprime

1 096Total

RMBS – Detailed breakdown

441US RMBS – HELOC

TotalCHF mTotal technical reserves CHF 340 million

No significant losses to-date

Slide 58

ab


Nat cat premiums and claims

1 Only events exceeding CHF 20m included; premiums net of acquisition costs

1 6501 910Expected net premiums2008 est.

1 0501 210Expected net claims

Nat cat premiums and claims1

20071CHF m

17 January230Winter storm ‘Kyrill’ over northern Europe

07 December27Hail and storms over NSW Australia13 August36Hurricane ‘Dean’ over the Caribbean

06 June49Typhoon ‘Gonu’ in Middle East07 June61Storms and floods in Australia

31 January43Floods and landslides in Indonesia

Date in 2007

23 June31Floods in UK20 July

485Total

Swiss Re’s nat cat events in 2007

8Floods in UK

Estimated net claimsCHF m

Slide 59

ab


Per share data

8.00 7.44

11.9513.49

2004 2005 2006 2007

CAGR 2004-07

14.3%

Earnings per share (historical)CHF

61.78

73.87

92.0086.21

2004 2005 2006 2007

CAGR 2004-07

14.2%

Book value per share (historical)CHF

1.60

2.50

4.00

3.40

2004 2005 2006 2007

CAGR 2004-07

35.7%

Dividend per share (historical)CHF

Slide 60

ab


Premiums for 20 largest markets

21514174South Korea

4 9681 1643 804UK1 9931 819174Germany1 344559785Canada1 234999235France1 044721323Italy1 013581432Australia

94688066Switzerland71763681Spain672308364Netherlands6656596China592425167Japan558280278Ireland51648432Austria

233115118Israel

35 44820 14715 301Total

1848698Belgium

26221250Denmark329163166South Africa

Gross premiums written and fees assessed against policyholders by country1

2 340

304

7 271Non-Life

14 6847 413USA

2 950610Other

32925 Bermuda

TotalLifeCHF m

1 Country split based on the country where the premium was generated or an approximation thereof

Slide 61

ab


Number of shares

381.7

+ 5.6

+ 7.2

+ 10.5

- 6.0

- 6.0

370.4

Shares reserved for ACI 2006 – 20091

346.7

- 11.7

- 6.0

- 6.0

370.4

End 2007

Shares reserved for MCS 2005 – 20081

Shares linked to employee participation plans (est.)

Shares repurchased via 2nd trading line, not yet cancelled

Treasury shares

Shares reserved for corporate purposes

Dividend shares

Fully diluted number of shares

Share calculation

Total amount of shares outstanding

in millions

1 Assuming maximum number of shares for conversion

Slide 62

ab


Exchange rates

Geographic gross premiums written 2007split by main currencies

GBP13%

EUR21%

USD49%

Other14%

CAD4%

-2.44%

-4.00%

1.201.231.25

USD/CHF

0.90%4.78%4.46%Change Factual 2006/Factual 2007

1.122.411.64Factual 2007

Average rates

-0.41%

2.422.30

GBP/CHF1.111.57Factual 2006

3.70%0.61%Change Interim 2007/Factual 2007

1.081.63Interim 2007

CAD/CHFEUR/CHF

-8.13%

-7.38%

1.131.231.22

USD/CHF

9.52%-5.86%3.11%Change Factual 2006/Factual 2007

1.152.251.66Factual 2007

Closing rates

-8.54%

2.462.39

GBP/CHF1.051.61Factual 2006

+/- 0.00%+/- 0.00%Change Interim 2007/Factual 2007

1.151.66Interim 2007

CAD/CHFEUR/CHF

Slide 63

ab


Corporate calendar & contacts

Corporate calendar

31 March 2008 EVM Teach-In (Conference Call)18 April 2008 144th Ordinary Annual General Meeting (Zurich)06 May 2008 First Quarter 2008 Results and 2007 EVM (Conf. Call)05 August 2008 Second Quarter 2008 Results (Conference Call)06 November 2008 Third Quarter 2008 Results (Conference Call)

Investor Relations contact

Hotline +41 43 285 4444

Susan Holliday +44 20 7933 3890Andreas Leu +41 43 285 5603Marc Habermacher +41 43 285 2637Chris Menth +41 43 285 3878

E-mail [email protected]

Slide 64

ab


Cautionary note on forward-looking statements

Certain statements and illustrations contained herein are forward-looking. These statements and illustrations provide current expectations of future events based on certain assumptions and include any statement that does not directly relate to a historical fact or current fact. Forward-looking statements typically are identified by words or phrases such as "anticipate", "assume", "believe", "continue", "estimate", "expect", "foresee", "intend", "may increase" and "may fluctuate" and similar expressions or by future or conditional verbs such as "will", "should", "would" and "could". These forward-looking statements involve known and unknown risks, uncertainties and other factors, which may cause Swiss Re's actual results, performance, achievements or prospects to be materially different from any future results, performance, achievements or prospects expressed or implied by such statements. Such factors include, among others:

changes in global economic conditions and the risk of a global economic downturn;

direct and indirect impact of continuing deterioration in the credit markets, and further adverse rating actions by credit rating agencies in respect of structured credit products or other credit-related exposures and of monoline insurance companies;

the occurrence of other unanticipated market developments or trends;

the ability to maintain sufficient liquidity and access to capital markets;

the cyclicality of the reinsurance industry;

uncertainties in estimating reserves;

the effect of market conditions, including the global equity and credit markets, and the level and volatility of equity prices, interest rates, currency values and other market indices ;

expected changes in our investment results as a result of the changed composition of our investment assets or changes in our investment policy;

the frequency, severity and development of insured claim events;

acts of terrorism and acts of war;

These factors are not exhaustive. We operate in a continually changing environment and new risks emerge continually. Readers are cautioned not to place undue reliance on forward-looking statements. We undertake no obligation to publicly revise or update any forward-looking statements, whether as a result of new information, future events or otherwise.

mortality and morbidity experience;

policy renewal and lapse rates;

changes in rating agency policies or practices;

the lowering or loss of one of the financial or claims-paying ratings of one or more of our subsidiaries;

political risks in the countries in which we operate or in which we insure risks;

extraordinary events affecting our clients and other counterparties, such as bankruptcies, liquidations and other credit-related events;

risks associated with implementing our business strategies;

the impact of current, pending and future legislation, regulation and regulatory and legal actions;

the impact of significant investments, acquisitions or dispositions, and any delays, unexpected costs or other issues experienced in connection with any such transactions, including, in the case of acquisitions, issues arising in connection with integrating acquired operations;

changing levels of competition; and

operational factors, including the efficacy of risk management and other internal procedures in managing the foregoing risks.

Documents

FY2007 results 20080229 Final - Swiss Re642623e3-5f07-48e1-8a8c-d6b48b… · Slide 3 ab Annual results 2007 Analysts' meeting Zurich, 29 February 2008 Today’s agenda Business performance