investors' day - swiss re › dam › jcr:8a0609bc-c33c-4761... · 3/25/2011 ·...

a

Investors' DayZurich, 25 March 2011

Investors' Day | 25 March 2011

a

IntroductionSusan Holliday, Head of IR

2


a

Introduction Susan Holliday

New corporate structure Stefan Lippe

Underwriting Brian Gray

Reinsurance Christian Mumenthaler

Break

Corporate Solutions Agostino Galvagni

Admin Re® David Blumer

Today’s agenda

3


a

New corporate structureStefan Lippe, CEO

4


aSwiss Re's priorities

Outperform our peers Reinsurance Admin Re® Asset Management

Smart expansion Corporate Solutions Longevity Emerging Markets

Build on what we are

good at

The leading player in the wholesale

re/insuranceindustry

5


a

Skill-set

Innovation

Credit quality

Capital efficiency

Client relationships

Reputation

Significant risk capacity

Best-in-class solutions

High counterparty security

Effective financial structure

Targeted client approach

Top-class brand

Drivers of our success

To be the leading player in the wholesale re/insurance industry

Risk knowledge

Size

6


aThree Business Units to support our priorities

Reinsurance Corporate Solutions Admin Re®

Swiss Re Holding

Mission To be a lean, global player in large commercial business

To be a recognised force in the closed life book market

To be the world's leading reinsurer

The foundation of our strengths

A key opportunity for growth

Providing diversified earnings

Business positioning

~12% ~8%~80%

1 Gross written premium, gross earned premium and fees for Admin Re®

7

Approximate premium weighting1


a

Japan earthquake updateBrian Gray, Chief Underwriting Officer

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a

9

The Japan EQ was an extreme event

Earthquakes with Magnitude 9.0 or greater since 1900

1952 – Kuril Islands 9.0 1960 – Chile 9.5 1964 – Alaska 9.2 2004 – Indonesia 9.1 2011 – Japan 9.0

New Zealand22 February 2011

Chile27 February 2010

Japan11 March 2011

Magnitude 6.3 8.8 9.0

Energy Released(compared to NZ)

1 5 600 11 200

Fatalities/missing >160 562 >20 000


a

10

Japan market structure and Swiss Re exposureProperty & Casualty

Residential non-life

Co-operatives Commercial & industrial non-life

Nuclear facilities

Scope of cover1

FireEarthquake shock and tsunami, if purchased as extensionPhysical damage plus limited cover for expenses, business interruption and contingent business interruption Nuclear damage is excluded

Earthquake and tsunami excluded in property and liability

Approx. Swiss Re gross market share3

0%2 7% 12% <1% n/a

of propertyreinsurance

limits

of propertyreinsurance

limits

of direct insurance

limits

Swiss Re's claims are largely physical damage and business interruption from commercial and industrial risks

1 Property is main line affected, but marine, engineering, motor, personal accident will have claims2 Protected by Japan Earthquake Re and reinsured within the local market3 Gross share of limits is not predictive of claims in a specific loss event due to the structure or re/insurance layers


a

11

Japan market structure and Swiss Re exposureLife & Health

Basic death benefit Accidental death benefit Other

Source Life companies Life companies Non-life companies

Critical illness, Catastrophe

excess of loss

Scope of cover

Proportional and surplusDeaths from EQ, Tsunami and Nuclear are covered (nuclear not covered for risks

ceded by non-life companies)

Approx. Swiss Re gross market share

<1%1

Predominantly from high face-amount policies, mainly in urban centres

Life & Health is not expected to be a significant contributor to Swiss Re claims

1 Of in-force primary protection risk market


aHedging for Japan earthquake

1 Expected pattern for the first event, before basis risk

P&C protection is in place, L&H protected against severe events

L&H: Vita IV – Series III

Protects extreme mortality based on published death statistics over a 2 year risk period, commencing 1 October 2010

Deaths are weighted by age and gender to represent Swiss Re's portfolio, and will not be an exact comparison to total population deaths

Population deaths Vita protection

Attachment 50 000 nil

Exhaustion 100 000 USD 100m

0% 50% 100%

P&C: EQ Japan protection tower In-force at 1 March 2011

20

% B

erks

hire

Hat

haw

ay Q

S

Hedging1

Estimated loss for Swiss Re

10%

Loss

pro

babi

lity

0.2%

Mar

ket l

oss

12


a

13

Japan earthquakeSwiss Re loss estimate

Estimate net, before tax USD 1.2bn

Based primarily on modelled estimates for our own portfolio

Estimate is subject to a high degree of uncertainty due to– Calibrating to clients' estimates and original policyholder claims will take an

extended period of time

– The high proportion of commercial and industrial claims in the reinsured share of the event is likely to extend the settlement time


a

1.60.90.9 0.7

0

2

4

EarthquakeCALIFORNIA

EarthquakeJAPAN

4.35.2

4.12.62.6 3.2 2.4 1.9

0

2

4

6

EarthquakeCALIFORNIA

HurricaneNORTH ATLANTIC

WindstormEUROPE

EarthquakeJAPAN

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Estimated Swiss Re claims are within our expectation

1 Net of estimated hedging impacts, adjusted for basis risk2 Excl. Japan Earthquake ReAs at 31 December 2010

net1gross /Estimated Swiss Re loss:

1.71.21.1 0.8

0

2

4

HurricaneNORTH ATLANTIC

WindstormEUROPE

Estimated market loss

25 year return period

60 14


Estimated market loss 22 162

Estimated single event lossesUSD bn


14


a

-20%

-15%

-10%

-5%

0%

5%

10%

15%

20%

25%

30%

0

30

60

90

120

150

1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 est.

Incurred annual loss (LHS)

Camares Index Change (RHS)Est. average loss Q2 - Q4 2011

15

Historic catastrophe loss burden and global cat price development

1 Assuming normal cat burden for remainder of yearSource: CAMARES (Swiss Re's Cat market research of cat programme profitability in 14 largest markets), Sigma 2010/1 and 2011/1

2011 is expected to have one of the highest historic natural catastrophe claims burdens

1999/2000: Windstorms Lothar & Martin

2001: WTC terrorist attack

2005: Hurricanes Katrina, Rita, Wilma

2008: Hurricane Ike, Financial crisis

2010: Earthquake Chile

2010/2011: Earthquakes New Zealand, JapanFloods Australia

USD bn

?

1


a

UnderwritingBrian Gray, Chief Underwriting Officer

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aOrganised to deliver consistent underwriting across the Group

Reinsurance

Swiss Re Holding

Corporate Solutions

Admin Re®

Products

17

Underwriting quality is core to Swiss Re's DNA


a

18

Creating value in wholesale re/insurance

We aspire to capture value from market inefficiencies and portfolio efficiency, via fundamental analysis and execution

Client access & knowledge

Re/insurance value drivers Swiss Re capabilities

UW insight & structuring

Global steering & delivery

Market inefficiencies at a point in time

Market inefficiencies over time

Portfolio construction & efficiency


aMarket inefficiencies at a point in time

The market is inefficient at pricing Success drivers: critical mass and

investment in- R&D into risk factors- Proprietary costing tools- UW training- Metrics and measurement- Leveraging skills across portfolios

19

Inefficiencies create the opportunity for investment in outperformance

Price variability at a point in time

-50% 0% 50% 100% 150%

Property & Casualty

Life & Health

Profit Margin after capital costs & tax, 2010

Pre

miu

m


aMarket inefficiencies over time

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Market inefficiencies create opportunity for outperformance

The market is inefficient at pricing at a consistent profit margin over time

The magnitude of the price cycle is extreme

Success drivers– Accurate costing at time of sale– EVM: consistent and comparable metrics

for a value creation UW-year basis, across all units

– Structure allowing shifts between units and over time

?

?

50

100

150

200

1999 2001 2003 2005 2007 2009 2011

Natural Catastrophe

US General Liability

Pricing cycle over time1

?

?

1 Source: Camares, Council of Insurance Agents & Brokers


aCapturing value from the cycleA track record of steering over time

50

75

100

125

1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

9.7%

P&C margins decrease: Swiss Re expands life business

P&C margins increase: Swiss Re grows P&C business above market

Swiss Re share of global P&C reins. market

P&C margins decrease: Swiss Re reduces P&C market share

9.7%

Net Premium CAGR 2007-2010

Non–life reinsurance market

Swiss Re P&C

Swiss Re L&H

1994-1999

5%

-0.2%

41%

2000-2006

6.5%

13%

10%

3.5%

-7%2

0%

1999-2000: Windstorms Lothar & Martin

2001: WTC terrorist attack

2005: Hurricanes Katrina, Rita, Wilma

1993: 2nd

generation of Bermuda capacity

2008: Financial crisis

P&C pricing index1 (1994=100)

1 Source: Swiss Re Economic Research & Consulting2 Includes effect of 20% P&C quota share beginning in 2008

21

7.7% 10.9% ~ 7%


aPortfolio constructionSteering towards segments offering most value

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0%

10%

20%

30%

40%

50%

2004 2005 2006 2007 2008 2009 2010 2011

PropertyCasualtyLife & Health

Underwriting Year

% of portfolio

Steering is enabled by consistent, Group wide, value-driven metrics

Swiss Re has steered away from Casualty in recent years

Net present value of premiums written


aPortfolio constructionCompetitive advantage through risk transformation

Portfolio steering

Risk retained

Input

Heterogeneous

Various durations

Complex

Indemnity cover

Regulated

Output

Homogenous

Limited duration

Clear, trans-parent triggers

Tradable

Risk origi-nation

Riskceded

Success drivers– Critical mass– Global steering of risk and return on a consistent, value-driven basis– Appetite for basis and execution risks– Structuring capability for innovation

Swiss Re generates positive arbitrage for key peak nat cat risks, and leads development of longevity market structures

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Risk transformation requires scale and knowledge, and is not easily replicated


a

Source: Company reports and Swiss Re Economic Research & Consulting, combined ratios as published

Consistent strength in underwritingCombined ratio comparison

Swiss Re

Munich ReHannover Re

General Re

SCOR

PartnerRe

Everest Re

Transatlantic Re

80%

85%

90%

95%

100%

105%

110%

115%

120%

FY 05 FY 06 FY 07 FY 08 FY 09 FY 10

Active capital allocation and cycle management delivers results

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a

ReinsuranceChristian Mumenthaler, Chief Marketing Officer Reinsurance

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a

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Reinsurance introductionA world leading reinsurer

Strong market position

L&H – USD 49bn market1

P&C – USD 156bn market1

Strong diversification

Geography2

Line of business2

1 Preliminary estimate 2010 by Swiss Re, Economic Research & Consulting2 Excluding Admin Re®, Accounting Year view3 EMEA = Europe, Middle East, Africa

18%Swiss Re

7%Swiss Re

37%

48%

15%

Americas

EMEA3

Asia - Pacific

42%

27%

18%

13%

L&H

Property

Casualty

Specialty

Moderate growth environment

L&H outlook

P&C outlook

Casualty4.3%

Cession rates down from

12.9% to 10.2%

Market growth(average annual)

Casualty6.9%

Market growth(average annual)

Cession rates up from

10.6% to 11.5%


a

27

EVM performance 2008 - 2010New business

-200

0

200

400

600

800

1000

1200

1400

-10% 0% 10% 20% 30% 40%

Property & Specialty

Life & Health

Casualty

Profit Margin

EVM

Pro

fit in

US

D m

Property & Specialty2008: depressed price levels and hurricane Ike2009: increased price levels and Chile earthquake1

2010: increased price levels and no major nat cat events

Casualty2008 and 2009: impacted by German Motor business and Medical Malpractice 2010: strong improvements due to one off transactions and portfolio pruning

Life & HealthLower volumes, especially quota share business, since the financial crisis

Figures are Swiss Re Group, excluding Admin Re®Bubble size is proportional to PV of Economic CapitalNew Business: inception date within the reported calendar year

2008

2009

2010

2008

20092010

2010

20082009

1 Chile EQ included in underwriting year 2009


aPortfolio constructionSteering towards segments offering most value

28

0%

10%

20%

30%

40%

50%

2004 2005 2006 2007 2008 2009 2010 2011

PropertyCasualtyLife & Health

Underwriting Year

% of portfolio

Steering is enabled by consistent, Group wide, value-driven metrics

Swiss Re has steered away from Casualty in recent years

Net present value of premiums written


a

29

Our fundamental strengths

Very strong client franchise

Very strong, 148 years old brand

C-suite access with nearly all clients

More than USD 10bn of excess capital (SR Group as at 31 Dec 2010)

Ability to deploy very large capacities for single risks and events (both P&C and L&H)

Global presence

Very diversified portfolio

Underwriting knowledge in all relevant risk classes

Natural Catastrophes

Mortality

Longevity

Separation of costing and pricing to keep costing unbiased

Own R&D and models to better estimate risks

Large and very strong balance sheet

Global distribution and access to risk

Leading reinsurer in transforming risks to

the capital market

Unique own proprietary risk

analysis


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30

Reinsurance strategy

Maximise EVM Profit

Excellence in core business

Keep and expand our fundamental strengths

Invest in our future

Increase origination through segmented marketing approach

Expand pipeline of unique transactions with our clients to complement traditional flow business

Cycle Management & Portfolio Steering

Operational Excellence: further simplify system landscape and improve leveraging of data


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Client segmentationTargeted sales approach

Globals

Very large global players

Usually active on several continents

Complex capital structures and financial needs

Aggregators

Large

National market leaders and/or active in several countries

Strive to grow and/or become Globals

Similar complexity to Globals, but not yet global knowledge

Aggregators

Regional & Nationals

Combination of national insurers, mutuals, start-ups and specialised companies

Mainly traditional reinsurance products

Segments Description & needs Our approach

One globally dedicated team

Tailor made solutions

Large capacities

"Light" version of Globals approach

One main Swiss Re contact person

Tailor made solutions with increasing focus on risk & capital management opportunities

Lean and efficient delivery model

Pursue growth


aCustomised transactions vs. traditional flow business

We expect customised transactions will grow Swiss Re is ideally placed to benefit from this trend

Traditional flow business

Part of daily business of insurers

Renewed or re-priced frequently

Tendered in open market with potentially dozens of reinsurers

Commodity-type product

Dealt with by reinsurance manager

Customised transactions

Customised solutions to address specific client needs

Often multi-year deals

Often granted exclusivity to one partner

Price is not the primary consideration

Dealt with by client C-suite

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a

33


Maximise EVM Profit




Operate at AA capitalisation level

Expand own R&D

Extend leadership in risk transformation


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34

Expand our own R&DIntellectual investment

Property & Specialty

Own research team

Own models for storm, earthquake and flood

Ability to compare to commercial tools and understand differences

Life & Health

Unparalleled amount of patient medical data and mortality experience available in the US and UK

R&D team strengthened in 2010 to model future trends in longevity

Experts include researchers, medical doctors, actuaries and underwriters

Casualty

Group-wide casualty risk R&D initiative since 2007

New "nat-cat-like" casualty risk and pricing models established, based on systematic risk drivers approach


aRisk transformation – ILSSwiss Re has been a leader and innovator in the sector since its inception

As of 3 January 2011Source: Swiss Re Capital Markets

1997 – 2010 Market position

0 5,000 10,000 15,000 20,000

Lehman Brothers

Guy Carpenter

BNP Paribas

Aon

Goldman Sachs

Swiss Re Capital Markets

Lead ManagerTotal Underwritten

35

Leadership in the ILS market creates business opportunities for Swiss Re

USD million


a

36


Maximise EVM Profit




Emerging Markets: pursue country and risk pool specific growth strategies and benefit from fast growing primary insurance markets

Offer new solutions to clients, e.g. Longevity


a

Reinsurance growth lagging due to various factors such as low primary capital needs in some regulatory regimes or a focus on savings products with no need for risk transfer

Reinsurance margins are thin in the mid-term due to focus of primary on top line and strong reinsurance competition

Emerging MarketsA long term play for reinsurance

37

Reinsurance growth opportunities lag primary insurance in Emerging Markets

Emerging Markets are a long term play and require smart expansion

Capture value from proprietary investments in fast growing primary sector

Pursue country and risk pool specific expansion strategies such as focusing on special lines, alternative channels, or low cost products which promise to add significant value over a 5 year horizon


a

38

Innovative insurance solution in VietnamRice yield index

Importance Agriculture contributes 22% to GDP and rice is the

key crop. Production losses from natural perils reach 5% of annual GDP

What we did Area-yield index cover to protect farmers against

major natural catastrophes such as impact of typhoons, floods and droughts

Benefits Agribank, Vietnam’s agriculture bank and key

provider of agriculture loans – will insure their rice farming clients against the inability to make loan repayments due to low yields

" With this solution we can in the future continue to sustain a key sector that provides a means of livelihood to more than 50% of Vietnam's 86 million people", Nguyen Van Minh, Chairman ABIC and Board Member Agribank


aLongevitySwiss Re ideally positioned for longevity risk because of our large mortality book

25 30 35 40 45 50 55 60 65 70 75 80 85 90

Mortality Longevity

Ris

k in

US

D

Age

Illustrative data

Risk of 1% p.a. increase in mortality, compounded

■ Mortality and longevity portfolios are significantly matched from age 70, but basis risk exists across many dimensions

■ Our biggest risk is the basis risk between middle-aged US mortality and older-aged UK longevity

39


a

Difference in US and UK mortality improvements

In December 2010, Swiss Re announced the transfer of USD 50m of longevity trend risk to the capital markets through the Kortis Capital Ltd. ("Kortis") securitisation programme

The bond protects the differencebetween the mortality development of the younger US and the older UK population, each measured by a population index, rather than pure longevity risk

Independent modelling firm RMS has issued a Risk Analysis to support the ILS

The transaction builds on Swiss Re's leadership in ILS innovation, first in natural catastrophe and later with extreme mortality

LongevitySwiss Re issued first longevity/mortality basis risk bond in Q4 2010

40

Inde

x va

lue

US mortality

UK longevity


aEnvironment & strategic contextKey Trends

Trend Potential market impactOpportunities

for SR

Sho

rt-t

erm

P&C market hardeningOutperformance potential for players with strong cycle management & steering across lines

L&H dislocations: refinancings, M&A

Demand for portfolio transactions (most requiring cash), Admin Re®

Regulatory changes, incl. Solvency II

Potentially increased reinsurance demand, increased focus on risk and diversification, reduction of arbitrage

Low interest rate environment

Revaluation of life guaranteesLimited appetite for long-tail Casualty business

Long

-ter

m

Population ageing, retirement funding crisis

Demand for longevity risk transfer

Increase in interest rates, and (potentially) inflation

Dislocations in Casualty and L&H

GDP growth in Asia and Latin America

Higher demand

Increasing influence of capital markets

ILS expansion, especially towards hybrid risk/funding transactions

Further consolidation of insurance market

Potentially lower demand for traditional reinsurance; opportunity for Swiss Re to offer global solutions

41


a

Global and diversified leader in Property & Casualty and Life & Health reinsurance products and services

Excellent client franchise, built around client centric delivery model

Capital strength allows deployment of sizeable capacity lines for our clients

Complete focus on economic value creation supported by separated costing and marketing functions, resulting in underwriting excellence

Significant own data and R&D leading to better risk selection

Ability to optimise portfolio through retro and risk transformation

Well positioned to capture growth

– From unique and large one off transactions (in an M&A environment)

– When market turns (both P&C and L&H)

Reinsurance summaryA world leading reinsurer

42


a

Questions & answers

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a

Corporate SolutionsAgostino Galvagni, CEO Corporate Solutions

44


a

Corporate Solutions provides insurance solutions worldwide to corporates and their captives; personal lines insurance is out of scope

Target clients are corporates with revenues exceeding USD 750m and selected small/niche corporates

Customised solutions and longevity products are integral to Corporate Solutions' value proposition

45

Corporate Solutions introductionBusiness scope

Same costing, underwriting quality and portfolio steering as rest of Swiss Re Group


a

32 existing offices

Corporate Solutions todayAn insurer with global reach

North America: 21

Europe: 4

Asia Pacific: 6

Latin America: 1

6 new offices becoming operational in 2011

Among top 20 large commercial insurers

Employees1

~1200

■ Insurance licences in North America, Brazil, Europe, Japan and Australia

■ Reinsurance licences in most remaining countries for fronting business

46

1 Excluding employees in Shared Service Centers and other Group Functions

2011 origination / underwriting footprint

Key facts & figures


aCorporate Solutions today A diversified player focused on North America and large corporates

47

Gross written premiums of approximately USD 2.5bn

35%

25%

10%

30%

Property & multilines

Specialty

Credit & surety

Casualty & health

1 Engineering, Marine, Aviation and Space2 Approx. segmentation of clients based on revenues in USD; large: revenues >2bn; mid-sized: <2bn, >250m; small: <250m

Line of business split

50%

25%

25%

Large corporates

Mid-sized corporates

Small corporates

Client segment split2

1

60%5%

5%

30%

North America

Latin America

Asia Pacific

Europe & Middle East

Regional split

Significant marketshare in selectedsegments

Weather (OTC market): 25% Space: 12% Energy & Power: 12%

Subset 100 of F500 companies: 6% Airlines: 5%


aCorporate Solutions todaySegmentation based on client needs

48

Fortune 500 corporates

Multi-line / multi-year

Parametric covers

Capital relief for captives

Longevity

Industries Product niches (examples)

Aviation

Energy & Power

Engineering & Construction

Financial & Professional Services

Space

Bank, Trade & Infrastructure Finance

Surety (US only)

Weather

Health cover for self-insured corporations

Dedicated client managers for key clients offering the

full range of solutions

Dedicated units for underwriting and marketing

Dedicated units for underwriting and marketing

Our service model

Regions


a

49

1 Cessions available in the open market 2 Global insurance policies; primary layers 3 Including lower end mid-sized commercial clients

Administrative load

High

Medium

Low

Bubbles indicate estimated market size, USD bn

Strategic rationaleLarge commercial insurance is wholesale business

High

Medium

Low

Deal size/complexity

High Medium Low

Distribution granularity

Small commercialinsurance33 600

Personallines insurance

Large commercial insurance(Master policies2)

Reinsurance1

Large commercial insurance(Excess policies & upper middle market)

Wholesale focus

250

100

250

200

250

250

100

Corporate Solutions'target market


a

50

Market features

Large commercial insurance risk pool is bigger than reinsurance1

Market is expected to grow at ~6% per annum until 2015

Core strengths

UW expertise

Financial strength

Cycle management

Innovation capabilities

Swiss Re's core strengths are key success factors in commercial insurance

15 years of experience in commercial insurance

Solid geographical footprint

Current market share allows for significant growth

Sound starting position

+ +

Strategic rationaleSwiss Re is well placed to expand in commercial insurance

1 Cessions available in the open market


a

51

The commercial insurance landscapeClient needs drive insurers' value proposition

Large corporates Mid-sized corporates

Revenues, in USD

Insurance cover

Global players

Opportunistic players

Regional players

Focus on mid-sized and small clients. Strong local origination. Wide product offering (incl. Motor ) to enable “one-stop” shopping. Ability to manage large number of policies and claims.

Insurers' responses to client needs

Small corporates

Focus on large clients and Specialty niches. Significant capacity. Wholesale origination.

Lower end = < 750m, > 250m

Upper end =< 2bn, > 750m

> 2bn <250m

Insu

rers

Corporates

Standard products Special niche expertise

Retail origination

Large capacity Ability to lead master policies

Wholesale and retail origination

Master policy Excess policy


a

52

Corporate Solutions' strategyFocus on large commercial insurance as "lean global player"

Corporate Solutions will be Leaner than 'global players' because it will not lead master policies (lower cost) Closer to risks than 'opportunistic players' thanks to local origination (access to risks not

placed in wholesale centres e.g. London, Bermuda and New York) Broader international expertise than 'regional players'

Large corporatesUpper end

Mid-sized corporates Small corporatesLower end

Corporate Solutions' value proposition

Niche-related skills (focus on niches where Corporate Solutions is now active and well positioned)

Top brand

Financial strength

Large net capacity

Innovation

"We are here to stay"

Master policy Excess policy


aExamples of recent transactionsLarge capacity and innovation make a difference

53

Transaction requiring large capacity

Large energy corporation

Global corporate multiline programme SR's capacity: USD 350m for a 15% share (lead role) in most programme

sections; this transaction allowed Corporate Solutions to increase its share of wallet from 3% to 7%

Non-standard transactions

Large electricitynetwork operator

Parametric cat-windstorm Europe cover (swap contract) 100% share of EUR 150m xs EUR 100m Option to transfer into a cat bond co-led by Swiss Re

European builders association

Online sales platform for corporates to protect themselves directly or via brokers

Weather derivatives with 10 to 90-day duration covering the risk of absenteeism due to cold weather

Total limit: USD 26m; SR's share: 100%


aOverview of growth initiativesDiversified portfolio

1 Focus on corporates with revenues between USD 750m and USD 2bn

Expand product range selectively

Leverage Swiss Re's technical skills to expand Corporate Solutions offering (e.g. Excess & Surplus Property in the US)

Grow in Emerging Markets

Enter and/or strengthen position in strategic emerging markets

Accelerate growth in existing businesses

Increase penetration in markets/client segments where Corporate Solutions already has a foothold

Establish effective operating platform

Simplify/standardise processesHarmonise/upgrade IT platform and increase online availability of steering dataEn

able

rB

usin

ess

54

US middle market1

European footprint

Brazil

Examples of initiatives

Engineering & Construction


a

5555

BrazilAn expanding insurance market

Corporate Solutions' profile

Country highlights

2010 premium: USD 73m 107 employees Shareholders: Swiss Re (80%) and

International Finance Corporation1

(20%); transaction approved by local regulator on 1 March 2011

Current market position

Strengthen position as leading Specialty insurer

Leverage surety clients to cross sell other lines of business, particularly Engineering & Construction

Integrate UBF into SR framework, where appropriate

Significant investments in (>USD 300bn) in the next decade– Infrastructure sector: USD ~90bn investments– Oil and gas sector: USD ~170bn investments

Size and complexity of development projects will create opportunities for specialized insurers with large capacities

Agriculture: 4th player (7% market share) Surety: 4th player (10% market share) Other P&C lines of business: Small player

1 World Bank Group

Strategy and next stepsFacts & figures


aCorporate Solutions summaryA lean global player in commercial insurance

56

Modest market share, but strong value proposition and solid platform upon which to build

Focus on large commercial insurance as a "lean global player" fits well with Swiss Re's core strengths

Dedicated resources, separate from Reinsurance

Ambitious organic growth strategy subject to rigorous cycle management, portfolio steering and clear focus on profitability


a

Admin Re®David Blumer, Chief Investment Officer and Chairman of Admin Re®

57


aAdmin Re® introductionA recognised force in the closed life business

58

Admin Re® is focussed on the acquisition and administration of blocks of closed life business

Admin Re® will pursue an ambitious programme

– To strengthen its market presence through key transactions

– To build on the established skill base of the business and further strengthen class-leading global disciplines

– To deliver operational excellence and consistent policy-holder service

Admin Re® will have the option to attract third party capital to realise its ambition


a

United StatesREALIC

United KingdomWindsor Life / Barclays Life

SR Life Capital

New global Admin Re® holding

REALIC serves as the main carrier for US closed book transactions

Over 40 transactions have been completed since 1995

Approx 2.7m administered policies AuM USD 20bn Policies are serviced and administered through

third-party administrators (TPAs1)

Windsor Life (WL) serves as the main carrier for UK closed book business

10 transactions have been completed since 2003

Approx 3.5m administered policies AuM USD 35bn (of which unit linked/with profit

of USD 21bn) Policies are serviced and administered mainly in-

house

Swiss Re Life Capital Ltd serves as provider of global functions: origination and structuring, pricing, portfolio management and hedging, risk management, asset management, operational consistency, capital and performance management

Admin Re® overview

1 TPA=Third-party administrators

59


aClosed life books are a natural fit for the Swiss Re Group

Opportunity to acquire life exposure at attractive valuation levels, providing a diversification benefit to Swiss Re P&C

Stable, relatively low-correlated predictable cash flows/dividend streams with transparent risk. Cash flows on past transactions have met expectations

We have the experience and the skills to be a leading closed book consolidator

– Core competencies in origination, management of actuarial and financial market risk, as well as asset management – organised in global disciplines

– Unique global footprint with 50+ transactions in 12-year history

– Scalable business setup, allowing for seamless integration of acquired blocks of business

– Operational flexibility with experience in outsourced and in-house policy administration

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a

61

Admin Re® follows a three-pronged strategy to maximise value creation

Pursue a selective global growth strategy to strengthen the business in closed book markets, executing transactions with rigor and focus

Selective growth

Systematically address all levels of value extraction of existing books through class-leading management of assets, capital, portfolios and risk

Value extraction

Drive operational excellence and platform consolidation and improve consistency of policy-holder service

Operational excellence


a

Asset management

Admin Re® systematically addresses the different levers of value creation

Operationsand infrastructure

Acquisition of closed life books at attractive valuation levels

All transactions to be value accretive for Swiss Re Group and SRLC

Consistent AM approach across geogra-phies and portfolios

Objective to generate long-term, stable investment returns

Optimisationof capital allocation

Prudent use of leverage for existing and new transactions

Active portfolio management

Active management of actuarial risk, complemented by class leading financial risk management, hedging and modeling

Rigorous transition management

Efficient use of TPAs

Consistent policy holder service and focus on treating customers fairly

Continuous operational improvement

Capital management

Origination & valuation

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1 Selective growth

2 Value extraction

3 Operational excellence

Portfolio & risk factor management


a

Insurers seeking to unlock capital allocated to low-growth mature markets to pursue growth opportunities elsewhere

Financial conglomerates and composite insurers exiting sub-scale operations and reverting to core business activities

Need for capital to fund growth

Market cycle is positive and opportunities are expected to emerge over coming years

Trend away from bancassurance model as Basel III is implemented Likely increase in required capital for life insurance operations under

Solvency II National bailouts may drive the disposal or spin-off of closed books in

some markets

Changing regulatory environment

Leading consolidators face challenges Several traditional life re/insurers have exited the in-force market

Reduced competition for closed books

Closed life book business industry trends

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aClosed life book market in favourable cycle for acquisitions

1 Market capitalisation-weighted index composed on 20 largest UK-based, 51 largest US-based life insurers

Valuations attractive for acquirers

UK Global insurers reviewing options with

regards to UK operations Potential for sale of closed books

following recent M&A activity Fragmented market with some insurers

operating below scale

Cont.Europe

Mature market with increasing pressure on regulatory capital and limited growth

Presence of large, re-capitalised players may prompt marginal participants to exit

Asset disposals driven by reduction in government support a potential catalyst

US Polarised market with transformational

and small targets Global insurers aiming to decrease capital

allocated to US to fund growth elsewhere Smaller companies lacking scale and with

high funding costs constitute an opportunity

Characteristics of target markets favourable

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Price-to-book ratio – US and UK Life Insurance1

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

2000 2002 2004 2006 2008 2010

UK

US


a

Seller characteristics

Strong underwriting standards

M&A and transition experience

Additional transaction potential

Reinforce synergies

Admin Re®’s rigorous approach to transaction origination and structuring

Size

Appropriate scale transactions in main markets: UK, US, continental Europe

Minimum size to limit execution risk

Use leverage / external funding to execute larger transactions

Profitability

Diligent pricing at inception

Optimise mortality, investment and longevity risk to achieve profitability targets

Stringent Swiss Re and SRLC hurdles applied to all transactions

Business mix

No general product exclusions

Focus on target business and asset mix

Confirm operational resources to manage properly

Transactions to meet

internal and external hurdles

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aTransactions will be assessed based on a range of parameters

Acquisitions at attractive valuation levels. Current market EV discounts are in the 70% - 85% range

Target medium size acquisitions with up to USD 1bn equity, usage of leverage considered if appropriate

Returns must be competitive with other uses of capital

Significant positive EVM profit at inception

66

Transactions will be measured with different metrics depending on underlying risk characteristics, region, etc.


aThree components to increase value extraction

Asset management Capital managementPortfolio and risk factor management

Optimise allocation of capital

Prudent use of leverage for new transactions

Active management of actuarial and financial risks

Class-leading financial risk management, portfolio management and hedging

Consistent long-term approach

Long-term stable investment performance

Strong link to capital/ALM and risk management

67

Asset management


Capital management



2 Value extraction1 Selective growth 3 Operational excellence

Increase in risk capital


aOperational excellence key to realisingvalue in long-term

Rigorous transition management

Efficient use of TPAs

Excellent customer service, administration and intense focus on treating customers fairly (TCF)

Continuous self-improvement of in-house operations

68

Asset management


Capital management



2 Value extraction1 Selective growth 3 Operational excellence

Operational excellenceRigorous operational controls

10% call abandoned

5” 20” 1’ 2’ 5’

5” 20” 1’ 2’

2% call abandoned

Call centre:customer wait time before pick up

Call centre:customer wait time before pick up


aAdmin Re® able to attract third-party capital to complement its growth ambitions

CapitalisationRobust legal entity capitalisation and clarity on balance sheet positions

Management Experienced management with effective global disciplines

ProfitabilityTransparency on financial performance, consistent dividend flow, sustainable and lean cost structure

Market presenceEstablished deal pipeline, as well as appetite and execution readiness (capital, transaction governance, etc.)

Stand-alone platformEfficient stand-alone operational base and infrastructure – investments to reinvigorate platform and ensure stability

Governance & Controls Key governance processes and robust control environment in place

Prerequisites

69


aThe new Admin Re® structure offers full flexibility for third-party investments

Holdingcompany

Life companies

Individual transactions

General Partner Strategic investment

in Admin Re®

Limited Partner Exposure only to

selected market(s)

Co-Investor Invest in selected

transactions

70

Swiss Re Life Capital Ltd

(SRLC)

US Hold CoAdmin Re® UK

REALICWindsor Life Barclays LifeG Assurance &

Pensions

Origination & Valuation

Asset Management

Capital Management

Risk Management

Transaction pipeline1

Transaction 1 Transaction 2 Transaction 3 Transaction 4 1 Illustrative


aAdmin Re® summaryA recognised force in the closed life business

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With the corporate realignment of Swiss Re, Admin Re® is established as one of the three core operating businesses of Swiss Re and is set up as a self-standing Business Unit within the SR Group

Admin Re® will

– Further deepen its market presence by executing transactions to realise the strategy of selective growth in global markets

– Focus on further strengthening its class-leading global disciplines asset management, capital management as well as portfolio and risk factor management to pursue a strategy of maximum value extraction from existing closed life books

– Drive operational excellence and strengthen consistency of policy-holder services

Admin Re® may seek to attract third-party capital – the new Admin Re® setup offers full flexibility for third-party investments


a

Questions & answers

72


a

Corporate calendar

15 April 2011 147th Annual General Meeting Zurich 05 May 2011 First Quarter 2011 results Conference call04 August 2011 Second Quarter 2011 results Conference call03 November 2011 Third Quarter 2011 results Conference call09 December 2011 Investors' Day

Investor Relations contacts

Hotline E-mail+41 43 285 4444 [email protected]

Susan Holliday Ross Walker Chris Menth +44 20 7933 3890 +41 43 285 2243 +41 43 285 3878

Simone Lieberherr Simone Fessler +41 43 285 4190 +41 43 285 7299

Corporate calendar & contacts

73


aCautionary 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:

further instability affecting the global financial system and developments related thereto;

changes in global economic conditions; Swiss Re’s ability to maintain sufficient liquidity and access to capital markets,

including sufficient liquidity to cover potential recapture of reinsurance agreements, early calls of debt or debt-like arrangements and collateral calls under derivative contracts due to actual or perceived deterioration of Swiss Re’s financial strength;

the effect of market conditions, including the global equity and credit markets, and the level and volatility of equity prices, interest rates, credit spreads, currency values and other market indices, on Swiss Re’s investment assets;

changes in Swiss Re’s investment result as a result of changes in its investment policy or the changed composition of its investment assets, and the impact of the timing of any such changes relative to changes in market conditions;

uncertainties in valuing credit default swaps and other credit-related instruments; possible inability to realise amounts on sales of securities on Swiss Re’s balance

sheet equivalent to its mark-to-market values recorded for accounting purposes; the outcome of tax audits, the ability to realise tax loss carryforwards and the

ability to realise deferred tax assets (including by reason of the mix of earnings in a jurisdiction or deemed change of control), which could negatively impact future earnings;

the possibility that hedging arrangements may not be effective;

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

the lowering or loss of financial strength or other ratings of one or more of the companies in the Group or developments adversely affecting the ability to achieve improved ratings;

the cyclicality of the reinsurance industry; uncertainties in estimating reserves; the frequency, severity and development of insured claim events; acts of terrorism and acts of war; mortality and morbidity experience; policy renewal and lapse rates; extraordinary events affecting Swiss Re’s clients and other counterparties,

such as bankruptcies, liquidations and other credit-related events; current, pending and future legislation and regulation affecting Swiss Re or

its ceding companies, and regulatory or legal actions; changes in accounting standards; 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.

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aImportant notice for holders of Swiss Re securitiesThe ability of Swiss Re shareholders who are not resident in Switzerland to accept the exchange offer (the “Exchange Offer”) to be launched for Swiss Re shares (“Swiss Re Shares”) in return for shares (“HoldCo Shares”) of Swiss Re Ltd (“HoldCo”) may be affected by the laws of the relevant jurisdictions in which they are located or of which they are citizens. The Exchange Offer will not be made, directly or indirectly, in or into any jurisdiction outside Switzerland where to do so would violate the laws of that jurisdiction or would require the preparation of a prospectus or registration or other qualification of the HoldCo Shares.

This presentation is not an offer of securities for sale, or the solicitation of an offer to acquire HoldCo Shares, in any jurisdiction, including the United States.

Information for U.S. Shareholders and U.S. ADS Holders

The HoldCo Shares have not been, and will not be, registered under the U.S. Securities Act of 1933, as amended (the “Securities Act”) or under the securities law of any state or other jurisdiction of the United States. The HoldCo Shares may not be offered, sold or delivered, directly or indirectly, in or into the United States, except pursuant to an applicable exemption from, or in a transaction not subject to, the registration requirements of the Securities Act. Accordingly, unless HoldCo is satisfied, in its sole discretion, that HoldCo Shares can be offered, sold or delivered to a shareholder in the United States pursuant to an applicable exemption from, or in a transaction not subject to, the registration requirements of the Securities Act, a shareholder in the United States that validly accepts the Exchange Offer will receive, in lieu of HoldCo Shares to which it would otherwise be entitled under the terms of the Exchange Offer, the net cash proceeds of the sale of such HoldCo Shares.

When made, the Exchange Offer will be subject to Regulation 14E of the U.S. Securities Exchange Act of 1934, as amended (the “Exchange Act”). The Exchange Offer will be made in respect of the securities of a Swiss company, and will be subject to Swiss disclosure requirements.

The Exchange Offer will not be extended to holders (in their capacities as such) of American Depositary Shares representing Swiss Re Shares (“ADSs”). Holders of ADSs will receive a notice from JPMorgan Chase Bank N.A., the depositary (the "ADS Depositary") in respect of the Exchange Offer. Moreover, at Swiss Re's request, the ADS Depositary will be terminating the ADS program.

The receipt of cash consideration under the Exchange Offer by a U.S. shareholder may be a taxable transaction for U.S. federal income tax purposes and may be a taxable transaction under applicable U.S. state and local, as well as foreign and other, tax laws.

European Economic Area; United Kingdom

In the European Economic Area, the Exchange Offer and documents or other materials in relation to the HoldCo Shares will only be addressed to, and will only be directed at, (i) qualified investors in a relevant member state within the meaning of Article 2(1)(e) of the Prospectus Directive, as adopted in the relevant member state, and (ii) persons who hold, and will tender, the equivalent of at least €50,000 worth of Swiss Re Shares (collectively, “permitted participants”). These documents may not be acted or relied upon by persons in the EEA who are not permitted participants.

With reference to the U.K. Financial Services and Markets Act 2000 (Financial Promotion) Order 2005, as amended (the “Order”), the Exchange Offer and any materials in relation to the HoldCo Shares will only be directed at persons in the United Kingdom that are (a) investment professionals falling within Article 19(5) of the Order or who fall within Article 49(2)(a) to (d) of the Order; (b) holders of Swiss Re Shares at the time of communication of the Exchange Offer and such materials; or (c) persons to whom they may otherwise lawfully be communicated (collectively, “relevant persons”). In the United Kingdom, the HoldCo Shares will only be available to, and the Exchange Offer may only be accepted by, relevant persons who are also permitted participants, and as such, any investment or investment activity to which this presentation relates is available only to, and may be relied upon only by, relevant persons who are also permitted participants.

Information for Shareholders in Hong Kong

This presentation does not constitute an offer, solicitation or invitation to the public in Hong Kong to purchase HoldCo Shares. No steps have been taken to register a prospectus in Hong Kong and the contents of this presentation have not been reviewed by any regulatory authority in Hong Kong. Unless permitted to do so by the securities laws of Hong Kong, no person may issue or have in its possession this presentation or any other information, advertisement or document relating to the HoldCo Shares, whether in Hong Kong or elsewhere that is directed at, or the contents of which are likely to be accessed or read by, the public in Hong Kong other than with respect to the HoldCo Shares that are intended to be disposed of only to (a) “Professional Investors” within the meaning of the Securities and Futures Ordinance (CAP. 571) of Hong Kong and (b) “qualifying persons” within the meaning of the Companies Ordinance (CAP. 32), and any rules made thereunder. You are advised to exercise caution in relation to the disposition of the HoldCo Shares.

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