Q12008 results 20080506 FINALffffee1a-f021-43be-ad5a...Slide 5 ab First Quarter 2008 results...

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First Quarter 2008 results

Analyst and investor conference call Zurich, 06 May 2008

Slide 2

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First Quarter 2008 resultsAnalysts’ conference callZurich, 06 May 2008

Today’s agenda

Business performanceGeorge Quinn, CFO

IntroductionSusan Holliday, Head IR

Questions & answers

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Today’s agenda



Questions & answers

Slide 4

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First Quarter 2008 resultsSummary

Performance

Quality

Shareholders’ equity, returns,buy-back

Net income of CHF 0.6 billion, down 53%, EPS of CHF 1.84, down 52%

Satisfactory operating performance in Property & Casualty and Life & Health

Return on investments 5.8% vs. 5.4% in Q1 2007

Property & Casualty operating income down 6% to CHF 1.3 billion, combined ratio 96.9%

Life & Health operating income down 45% to CHF 449 million

Solid investment result, net unrealised gains decreased by CHF 1.5 billion

Structured CDS in run-off generated an additional mark-to-market loss of CHF 819 million in Q1 2008

Shareholders’ equity CHF 27.8 billion (down 13%) and book value per share CHF 83.26 (down 9%) in Q1 2008

Annualised RoE 8.5% vs. 17.1% in Q1 2007

Share buy-back reached CHF 3.26 billion by end Q1 2008 (42% of announced CHF 7.75 billion completed)

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Key figuresSatisfactory operating performance offset by mark-to-market loss on SCDS

-55%

-60%

n.a

-39%

+3%

Changeconst. FX

-45%449812Life & Health

n.a. -8831-17Financial Markets (net of investment mgmt)

-60%7061 749Total

-161

1 301

Q1 2008

-6%1 377Property & Casualty

-62%-423Group items

Change Q1 2007Operating income, CHF m

n.a.

Changeconst. FX

-9%83.2692.00Book value per share

Q1 2008 ChangeFY 2007CHF

1 Structured CDS and portfolio CDS in run-off

n.a.

n.a.

-47%

-13%

Changeconst. FX

-53%6241 329Net income

-52%1.843.85Earnings per share (in CHF)

8.5

6 457

Q1 2008-20%8 091Premiums earned

-8.6pts.17.1Return on equity (in %)

Change Q1 2007CHF m

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1 377 1 3014 902

3 690

Q1 2008Q1 2007

Decrease driven by lower premium volume and foreign exchange movement only partially offset by a strong performance of the liability lines of business

Net investment result stable at CHF 1.2bn, reflecting higher running yields and increased asset basis offset by lower capital gains and foreign exchange movements

Q1 2008Q1 2007

Property business impacted by higher man-made losses and lower premium volumes

Partially offset by favourable claims development in liability business

Natural catastrophe claims slightly higher than expected

CHF m

Premiums earned

Property & CasualtyDisciplined underwriting results in 96.9% combined ratio

Q1 2008Q1 2007

Decrease driven by higher client retentions, cutting inadequately priced business and foreign exchange movement

Volumes also impacted by the quota share agreement with Berkshire Hathaway

%

Combined ratio, traditional

CHF m

Operating income

Change

-25%

Change

-6%

Change

3.1pts.

96.9%

93.8%

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P&C traditional businessHigher property claims offset by strong casualty result

3 690

77

3 613

947283664

1 423789419

215

1 243Premiums

7Total non-trad.

%, premiums and operating income in CHF m

1 301

1 294

42722

405

778568157

53

89

Operating income

96.9%95.1%

93.8%91.4%

Total traditionalexcl. unwind

In line with expectationsGood experience and positive development across all specialty lines

79.0%92.3%73.2%

81.1%70.5%83.0%

SpecialtyCreditOther Specialty

Total

P&C traditional combined ratios

102.8%95.6%

104.5%

125.8%

103.8%

Q1 2008

Large nat cat and man-made claims80.9%Property

Positive claims development mainly in Europe and AsiaUnderlying profitability stable with modest negative reserve adjustmentHigher claims on declining premium base

112.8%118.2%102.3%

110.7%

CasualtyLiabilityMotor

Accident (A&H)

Main drivers of change Q1

2007

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Life & Health Solid performance, lower realised gains

4 2833 909

Change

-9%

812

449

Q1 2008Q1 2007

The underlying business performed at expected levels and benefited from the Admin Re transactions completed in the second half of 2007

Lower realised proprietary investment gains (CHF 459m in Q1 2007 vs. CHF 57m in Q1 2008)

CHF m

Operating revenues

CHF m

Operating income

Change

-45%

Q1 2008Q1 2007

Sale of new business operations of Tomorrow to LV= in Dec 2007

Unfavourable foreign exchange effects on premiums and fees earned

Q1 2008Q1 2007

Benefit ratio is calculated by policyholder benefits compared to premiums for traditional business (excludes unit linked and with-profits)

Benefit ratio improves due to sale of new business of Tomorrow. Underlying ratio deteriorates due to higher US mortality, partly offset by improved morbidity in Admin Re

%

Benefit ratio

91.3%

94.5%

Change

-3.2pts.

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1 3892 315

0

5 0 0

1 00 0

1 5 0 0

2 00 0

2 5 0 0

P e rio d 1 P e rio d 2

5.4% 5.8% 4.8%

2.0%

Change

-40%-2%

Q1 Q107 08

Q1 Q107 08

Excellent US GAAP return despite difficult market conditions

RoI benefits from protection in in corporate bonds and equities

Total return impacted by decrease in net unrealised gains due to credit spread widening and currency movements

Q1 2008Q1 2007

Decrease in expense ratio was mainly driven by lower variable compensation

CHF m

Operating income

Financial Markets Excellent RoI in difficult market conditions

Q1 2008Q1 2007

Net investment income up 14% due to higher asset base and increasedrunning yield from 4.8% to 5.3%, partially offset by FX movements

Result impacted by further mark-to-market impact from structured CDS CHF -819m (valuation methodology adjusted in Q1 2008)

Further mark-to-market loss of CHF 200m estimated for April

bps

Expense ratio2

%

RoI/Total return on inv. assets

23bps

57bps

RoI(US GAAP)

Change

-34bpsTotal return1

(mark-to-market)

1 Total return includes change in unrealised gains/losses2 Proprietary investment expenses (excl. securities lending expenses) over average invested assets

Operating income excluding m-t-m loss on SCDS

2208

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Fair value classificationNew disclosure for 20081

23221Equity securities

76

76

-74

-74

Impact of netting2

61169Derivative financial instruments211Other invested assets

1682517938Total assets at fair value

Liabilities-5-13-68Derivative financial instruments-7-1-4-2Other liabilities

-12-14-72-2Total liabilities at fair value

1717

Quoted prices in active markets for

identical assets (Level1)

131

75

Significant unobservable

inputs (Level 3)

Assets137

58

3940

10740

3235

Fixed income securities- Debt securities issued by governments and

government agencies- Corporate debt securities- Mortgage-backed and asset backed securities

Total

Significant other observable inputs

(Level 2)CHF bn

Level 1 includes exchange traded equity securities and most US treasury obligations

Level 2 includes most corporate bonds, government agency securities and certain mortgage- and asset-backed securities

Level 3 includes certain mortgage-backed securities, derivative instruments, private equity and hedge funds1 Based on SFAS 1572 FIN 39 permits the netting of derivative receivables and derivative payables when a legally enforceable master netting agreement

exists between two counter parties. A master netting agreement provides for the net settlement of all contracts, as well as cashcollateral, through a single payment, in a single currency, in the event of default or on the termination of any one contract

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Shareholders’ equity end Q1 2008Reduction due to share buy-back, FX and lower unrealised gains

624

27 816

31 867

-2 198

-1 577

-6

-1 016 122

22 000

24 000

26 000

28 000

30 000

32 000

31 December2007

Net income Sharesrepurchased

Sales of treasuryshares

Foreign currencytranslation

adjustments

Net change inunrealised

gains/losses

Other (incl.adjustment forpensions andFAS 158/159

effect)

31 March 2008

CHF mChange in shareholders’ equity Q1 2008

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April 2008 renewalsModerate price decrease due to disciplined underwriting

Total traditional portfolio

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

100%

64%

85%15%9%

-3%

-27%

-9%

0%

20%

40%

60%

80%

100%

120%

Total renewable

01 April 2008

Pending Cancelledor

replaced

Renewed Decrease on

renewal

New business/replace-

ment

Pending Estimated outcome

CHF 1.6bn CHF 1.4bn

Changes to loss expectancy and claims inflation-3%Change in share

-4%Decrease on renewed block+3%

-4%

Exposure growth

Rates

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Summary and outlookChallenging conditions but positive outlook

Net income of CHF 0.6bn, EPS CHF 1.84

Results negatively impacted by credit spread widening on SCDS; the Group continues to be exposed to mark-to-market volatility

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

Expect profitable growth in Life & Health, driven by new products and Admin Re®

CHF 7.75bn buy-back, CHF 3.4 billion (43.9%) complete by end of April 2008

EPS growth targeted at 15% CAGR 2008-2010

Over the cycle targets

EPS growth

10%

RoE

14%

Slide 14

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Today’s agenda



Questions & answers

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Appendix

Contents

Group income statement Q1 2008Business segment results Q1 2008Segment results and FX impacts per business line Group itemsOverall investment portfolioFixed income securities overviewCorporate bond portfolioStructured products Wrapped assetsCommercial mortgage-backed securitiesStructured CDSCorporate Portfolio CDS Financial guarantee reinsurance Trading securities break-down

Other assets/liabilitiesNet investment incomeNet realised gainsNet unrealised gainsReturn on investments basisReturn on investments calculationReturn on equity calculation2008 YTD renewalsSwiss Re’s effective capital managementNumber of sharesExchange ratesCorporate calendar & contactsCautionary note on forward-looking statements

Slide 16

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Group income statement Q1 2008

-47%-79%-55%

-31%38%

-19%-7%n.a

-17%

-35%+14%

n.a.+20%

-2%-13%

Changeconst. FX

-15%-1 329-1 557Acquisition costs

-53%6241 329Net income

+8%2 3792 194Net investment incomen.a.-2 1411 068Net realised investment gains/losses

+3%6967Other revenues

-14%183213Fee income from policyholders

-40%6 94711 633Total revenues

Expenses-23%-4 831-6 305Claims and claim adjustment expenses and L&H benefits

n.a.1 131-636Interest credited to policyholders

-26%-782-1 050Other expenses-28%-430-336Interest expenses-37%-6 241-9 884Total expenses

-82706

6 457

Q1 2008

Revenues

-80%-420Income tax expense-60%1 749Operating income before tax expense

-20%8 091Premiums earned

Change Q1 2007CHF m

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Business segment results Q1 2008

-2 272

-82-42-40

-2 190

-299-1 891

Allocation

-1 329-634-695Acquisition costs

1 301

-3 602

-349

-2 558

4 90325

1361 052

3 690

Property & Casualty

624Net income

2 379561 9321 230Net investment income-2 141290-569-1 699Net realised investment gains/losses

691826Fees, commissions and other revenues

183183Fee income

6 9473641 3892 481Total revenues

Expenses-4 831-2 273Claims and claim adjustment expenses and L&H benefits1 1311 131Interest credited to policyholders

-782-137-256Other expenses-430-388Interest expenses

-6 241-5250-2 032Total expenses

449

2 767

Life & Health

-161

Group Items

Revenues

-82Income tax expense7061 389Operating income/loss before tax

6 457Premiums earned

TotalFinancial MarketsCHF m

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Property & CasualtySegment results Q1 2008

1 301

-3 602-349-695

-2 558

4 90325

136

1 0523 690

Total

-10-685-240-271-174Acquisition costs

89

-1 290-115

-1 001

1 379

20

1161 243

Property Traditional

-1415030100Net realised investment gains/losses

2525Other revenues

451 007173718Net investment income

1084 7951 1752 241Total revenues

Expenses

-48-2 510-477-1 032Claims and claim adjustment expenses

-43-306-31-160Other expenses-101-3 501-748-1 463Total expenses

778

1 423

Casualty Traditional

1 294

3 613

Total Traditional

Revenues

7427Operating income/loss

77947Premiums earned

Non-Traditional

Specialty TraditionalCHF m

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FX impact on Property & Casualty

3%

-18%+5%

-22%-19%

-13%+32%-65%

+49%-19%

Q1 2008 vs.Q1 2007

constant FX1

-695-893Acquisition costs

136384Net realised investment gains/losses2519Other revenues


4 9035 660Total revenues

Expenses-2 558-3 172Claims and claim adjustment expenses

-349-331Other expenses-3 602-4 396Total expenses

1 264

4 551

Q1 2007constant FX1

Revenues

1 301Operating income/loss


Q1 2008 CHF m

1 2007 numbers at 2008 FX rates

Slide 20

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Life & HealthSegment results Q1 2008

1 1311177-46Interest credited to policyholders

-1 699-1 6843-18Net realised investment gains/losses

449

-2 032-256-634

-2 273

2 481

1 230183

2 767

Total

-95-125-414Acquisition costs

115

-2 063-117

-1 486

2 178

29018

1 888

Traditional Life

782158Net investment income

Other revenues

165Fee income from policyholders

-513816Total revenues

Expenses-240-547Claims and claim adjustment expenses; life and health

-101-38Other expenses741-710Total expenses

106

655

Traditional Health

Revenues


224Premiums earned

Admin Re®CHF m

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FX impact on Life & Health

n.a.1 131-562Interest credited to policyholders

n.a.-1 699 675Net realised investment gains/losses

-39%

-49%-6%

+18%

-14%

-48%

+27%-2%-5%

Q1 2008 vsQ1 2007

constant FX1

-634-538Acquisition costs


Other revenues

183187Fee income from policyholders


Expenses-2 273-2 634Claims and claim adjustment expenses; life and health

-256-274Other expenses-2 032-4 008Total expenses

733

2 906

Q1 2007constant FX1

Revenues



Q1 2008 CHF m


Slide 22

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Financial MarketsSegment results Q1 2008

1 Structured CDS and portfolio CDS in run-off

1 389

-174-174

1 56326

-5692 106

Total

Acquisition costs

1 817

-141-141

1 95826

-1072 039

Credit and rates

-867405Net realised investment gains/lossesOther revenues

166Net investment income

-866471Total revenues

ExpensesClaims and claim adjustment expenses

-33Other operating costs0-33Total expenses

438

Equities and alternative

investments

Revenues

-866Operating income/loss

Premiums earned

Other1CHF m

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FX impact on Financial Markets

-33%

n.a.

-33%13%

-180%+42%

Q1 2008 vs.Q1 2007

constant FX1

Acquisition costs

-569708Net realised investment gains/losses2623Other revenues

1 9321 358Net investment income


ExpensesClaims and claim adjustment expenses

Other operating costs00Total expenses

2 089

Q1 2007constant FX1

Revenues

1 389Operating income

Premiums earned

Q1 2008 CHF m


Slide 24

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15%388336Interest expenses

n.a.34-2Other

17%525448Interest and other expenses

-32%1522Indirect and other taxes

88

Q1 2008

-4%92Group function expenses

Change Q1 2007CHF m

Group items

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Overall investment portfolio

210.7

-6.6

-22.0

239.3

End2007

203.9Balance sheet values

-17.7Unit-linked investments

-5.7Participating business

180.5

Balance sheet values (excl. unit-linked and participating business)

End Q1 2008CHF bn

Decrease in assets mainly due to change in FX rates (mostly USD and GBP)

5%4%0%

23%

1%

31%

3%

19%

6%

8%

Government bondsMortgagesLoans (incl. Policy loans)Corporate bondsStructured productsEquitiesOther investmentsReal estateShort-term investmentsCash and cash equivalents

6%3%

22% 1%

32%

3%

20%

4%

9%0%

Slide 26

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Fixed income securitiesValue of portfolio impacted by weaker USD

5.1%5.0%5.2% 5.3%

End

Q2

20

07

End

Q3

20

07

End

Q4

20

07

End

Q1

20

08

Running yield

64.4 56.1

End 2007 End Q1 2008

40.7 36.5

End 2007 End Q1 2008

49.2 40.0

End 2007 End Q1 2008

Government bonds Corporate bonds Structured products

137.0159.6Balance sheet values

1.72.1Unit-linked investments

2.73.2Participating business

154.3

End2007

132.6Balance sheet values(excl. unit-linked and participating business)

End Q1 2008CHF bn

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

Mainly due to weaker USD and GBP

Mainly due to weaker USD and GBP

Weaker USD and GBP

Lower market values

Sales

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Corporate bond portfolio

7.2%2 626Non Cyclical Consumer Goods8.4%3 049Information Technology

2.8%1024Cyclical Consumer Goods

100.0%36 500Total

0.0%0Other

3.2%1 160Non Cyclical Services

8.9%3 244General Industrials51.8%18 899Financials11.8%4 305Energy, Utilities & Mining

4.0%1 470Cyclical Services

2.0%723Basic Industries

% of Total

TotalIn CHF m

2 353

0

2 353

NR

23 4432 0147 3617 1522 5082 055Net total

-13 057-4 159-5 318-2 305-1 002-274Hedging

36 500

Total

6 173

< BBB

12 679

BBB

9 457

A

3 5102 329Total

AAAAACHF bn

AA10%

A26%

BBB35%

<BBB17%

AAA6%

NR6%

Hedging is presented on a notional basis; however, when viewed on an economic risk basis, hedging has a greater impact on the portfolio

Slide 28

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Below A0.9%

AAA91.0%

AA-A8.1%

Below A5.0%

AA-A10.4%

N/R0.2%

Agency50.0%

AAA34.5%

AAA45.8%

Agency25.6%

N/R3.4%

AA-A11.5%

Below A13.6%AA-A

3.2%

AAA95.6%

Below A1.2%

60%20%

16%

4%

Structured productsHighly rated

CMBS (CHF 8.0bn; 94% par)

Other structured (CHF 1.7bn; 76% par)

RMBS (CHF 24.4bn; 92% par)

ABS (CHF 6.6bn; 98% par)

Total: CHF 40.7bn(93% par)

As of 31 March 2008Includes invested assets and net off balance sheet exposures, excludes cat bonds and SCDS

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Structured productsRMBS total

As of 31 March 2008

Group has hedged subprime exposures within trading portfolio. Gross notional exposure is CHF 3.3 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 33

24 442

7 2134 1092 239

84520

70

70

17 15912 212

1 9331 354

2021 457

Total MV

9292909392

347

27

619440107

71

1 670722703225

20

4 8902 9401 401

549

RMBS (ROW)PrimeNon-conformingBuy to letOther

92

98

98

939692814988

% par

40

6

6

NRBelow AAa-AAaaAgencyCHF m

1 210

591

104

37450

2 5528 42712 212Total

70

70

3 467

1 8281 354

92193

882

1

68813

12 21212 212

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 30

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Structured productsOther total

As of 31 March 2008

Analysis of structured CDS is excluded from table above and included on slide 33

16 321

22067

154

17022

148

85727

830

430430

6 6134 848

541 711

8 0304 760

3542 916

Total MV

6363

430430

Project loansProject loans (USD)

919191

42

42

220

220

160

160

43627

409

CLOCLO (USD)CLO (ROW)

464347

16

15

9

9

332212

112

112

CDOCDO (USD)CDO (ROW)

9894

100

22067

154

Other structuredOther structured (USD) Other struct. (ROW)

94

9898

10097

94959893

% par

57

NRBelow AAa-AAaaAgencyCHF m

378

8022

58

7032

37

1 06114 395430Total

6 3204 681

541 585

7 3064 602

2962 409

654126

58470

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

213145

68

ABSABS (USD)ABS (CAD; ABS auto)ABS (ROW)

Market value by ratingSector

42%

31%

6% 21%

ABS AutoABS CardsABS Student LoansABS Other

25%0%

35% 40%

ABS (USD)

ABS (ROW)

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Wrapped assets

4RADIAN

1 389MBIA

3 264Total

Wrapped assets by insurer/wrapper (market values)

9ACA

897AMBAC

6CIFG

434FGIC

401FSA

125Total wrappedXL Ass.CHF m

AAA12%

AA71%

< BBB17%A

0%

BBB0%

1 80811861 476208Other

Wrapped assets by wrapped rating (market values)

3 264

1 457Total

450813193Sub-prime

401

AAA

2 289

AA

6

A BBB

568

< 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

Exposure may be increased, given further acquisitions of wrapped assets

Includes RMBS, CMBS, ABS, CLO, CDO As of 31 March 2008

Slide 32

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Commercial mortgage-backed securitiesHighly rated portfolio

AA-A 126

Below A

32

AAA4 602

CMBS USD market valuesCHF m

Market value by ratingVintage year

95%4 760 78%32 89%126 95%4 602 Total

95%1 377 78%9 89%36 95%1 331 2007

95%1 546 79%11 89%41 96%1 495 2006

95%879 78%6 89%23 95%850 2005

96%233 79%2 90%6 96%225 2004

96%201 79%1 90%5 96%194 2003

95%524 79%4 89%14 96%507 Pre 2003

% of parTotal% of parBelow A% of parAa-A% of parAaaCHF m

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Structured CDSFurther market value deterioration

-14.5pts.-24pts.

-9pts.-21pts.-38pts.-16pts.-11pts.

0pts.-15pts.

Changesince

end 2007

4156627.11 389Subprime

53.92 759100.05 120TOTAL56391.471Wrapped ABS882204.9250Euro Subprime

471646.8349Alt A/Alt B771 11628.31 448Prime MTG841994.6236Corp CDO

0016.1825ABS CDO8245410.8553CMBS

Market value (% of par value)

Market value (CHF m)

Par value(%)

Par value(CHF m)

Category1

1 651Portfolio mark-to-market as of 31 Dec 2007293Subordination

-819TOTAL impact 31 Dec 2007 to 31 March 2008-402FX movements

-2 361Portfolio mark-to-market as of 31 March 2008LossesCHF m

As of 31 March 20081 Categories have been adjusted based on detailed review of underlying

Slide 34

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10 000

20 000

30 000

40 000

50 000

60 000

Dec-07 Jun-08 Dec-08 Jun-09 Dec-09 Jun-10 Dec-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)

Current transactions have not experienced significant portfolio losses to date, leaving over 95% of original available subordination

Spread widening led to a mark-to-market impact of CHF -65m in Q1 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

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Financial guarantee reinsurance Exposure breakdown

100%0.0%0.0%9.3%0.0%90.7%Commercial Mortgage (CMBS)

100%100%

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

100%Total

0.0%0.0%

0.0%26.2%

0.0%0.0%0.0%

24.0%8.0%0.3%

2.0%< BBB-

33.7%71.6%

83.0%73.8%71.0%86.8%90.6%45.4%64.6%28.5%

36.5%BBB

8.7%5.8%12.9%Structured finance (SF)Public finance (PF)

39.8%22.9%

0.0%0.0%9.9%2.7%0.0%5.5%

42.7%35.1%

A

Student loans

Auto loans

3.1%13.9%Operating assets0.0%0.0%Auto rental fleet securitisations

23.3%3.2%SF Other – InternationalSF Other – US

Future flow receivables

Residential Mortgage (RMBS)- thereof0.0%9.4%

10.5%0.0%10.4%8.7%

0.0%5.5%

Financial Guarantee Re exposure

3.3%21.9%

23.4%2.9%Total notional exposure (TNE)28.4%

AA

0.1%

AAA

- Exposure as per latest cedent reporting

- Categories based on cedent reporting

7%266

22%3 844

9%3309%330

10%384

15%58612%44511%435

4%141

24%926

100%17 29578%

In % of TNE

13 450

Total, CHFm

153US RMBS – Mid-prime/Alt-A270US RMBS – Closed end 2nd lien

7RMBS – Other39US RMBS – Prime97US RMBS – Sub-prime

926Total

RMBS – Detailed breakdown

361US RMBS – HELOC

TotalCHF mTotal technical reserves CHF 390 million

Overall exposure reduction due to FX USD/CHF; exposure in original currency largely stable

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Trading securities break-down

13 844Unit-linked equity securities classified as Trading

43 191Total fixed income securities classified as Trading

1 712Unit-linked fixed income securities classified as Trading

41 47938 7302 749Fixed income securities classified as Trading (excl. unit-linked)

18 430Total equity securities classified as Trading

4 5862 7321 854Equity securities classified as Trading (excl. unit-linked)

Securities classified as trading end Q1 2008

13 148

15 606

12 725

Total

13 10543Mortgage and asset-backed securities

13 6951 911Corporate debt securities

795

With-profit

11 930Debt securities issued by governments and government agencies

Other CHF m

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Other assets/liabilities

3 071Other investments

1 470Securities purchased under agreement to resell

Other invested assets

15 999Total

5 402Equity accounted companies

6 056Derivative instruments

Q1 2008 (CHF m)

4 187Securities sold short

3 453Other Financial Markets liabilities

2 677Securities in transit

26 444Total Financial Markets liabilities

5 195Other liabilities

Accrued expenses and other liabilities

31 639Total

5 732Derivative instruments

10 395Securities sold under agreement to repurchase

Q1 2008(CHF m)

2 727Reinsurance related assets

4 238Other assets

Other assets

10 821Total

3 857Securities in transit

Q1 2008(CHF m)

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Net investment income

-56%-69-156Interest paid on cedant deposits

+53%-142-93Investment expenses

-2%332338Other asset classes

-43%3154Equities

+8%2 3792 194Net investment income

+44%193134Assets held for linked liabilities

2 034

Q1 2008

+6%1 917Fixed income

Change Q1 2007CHF m

Net investment income increased in 1Q 2008 due to higher assets and higher average running yield (5.3% vs. 4.8%), partially offset by currency movements

Change in expense allocation in 2008, partially offset by lower variable compensation

Interest paid on cedent deposits were lower due to the release of funds from a retrocession agreement

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Net realised gains

-574%-1 428301Assets held for linked liabilities

+164%591224Other asset classes

-247%-556377Equities

-300%-2 1411 068Total net realised investment gains

+188%93-106Foreign exchange remeasurement and designated trading portfolios1

-841

Q1 2008-409%272Fixed income

ChangeQ1 2007CHF m

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

Net realised losses on fixed income mainly due to market changes on ABS portfolio

Reduction in equity exposure by selling stocks led to realised losses. Includes as well m-t-m losses from investments relating to participating business

Realised losses from fixed income and equities partially offset by gains of derivatives used to hedge financial market and insurance risks reported under other asset classes

Other includes m-t-m loss of CDS portfolios in run off in 1Q 2008 and in 1Q 2007 the sale of Swiss Re’s London office building at St Mary Axe

93

-159

252

Q12008

-106

-199

93

Q12007

M-t-m

FX

CHF m

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Net unrealised gains

1 815

1 1751 720

137

55

On BS Off BS

OtherReal estateFixed incomeEquities

1 136

1 243 752

102

122

On BS Off BS

Net unrealised gains decreased as the impact of lower interest rates was more than offset by currency movements, credit spread widening and reduction in equity gains

3 355

End Q1 2008

4 902

FY 2007

Total

CHF m, pre-tax

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Return on investments basisThis shows the investments that are included in the RoI calculation

Balance sheetBalance sheetSlide 37Slide 37Balance sheet (policy loans, mortgages and other loans)Various items

13.2-7.53.9

-26.4-3.4

-4.3

14.2-8.40.4

-27.8-3.8

-4.4

Funds held by ceding companiesFunds held under reinsurance treatiesSecurities in transitFinancial Markets liabilitiesPolicy loans

Other

Slide 25180.5210.7Total (excl. linked an participating)

Slide 25Slide 25

-17.7-5.7

-22.0-6.6

Unit-linked investmentsParticipating business

Slide 25203.9239.3Total investment portfolio

180.9

11.5

227.8

FY 2007

Balance sheet12.0Cash and cash equivalents

156.0Total

191.9

Q1 2008

Balance sheetTotal investments

Where to find? CHF bn

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Return on investments calculation

+187%92-106Foreign exchange remeasurement and designated trading portfolios

-8%438477Equities & alternative investments

+0.4pt5.8%5.4%Return on investments

+200%10-5 Adjustments1

+7%2 3572 200Basis for RoI

-1%162 944164 008Average invested assets at average fx rates 2

1 817

Q1 2008at avg FX

-1%1 834Credit and rates

Change Q1 2007at avg FXCHF m

1 Exclusion of third-party fee business2 Opening balance plus ½ turnover

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Return on equity calculation

27 81630 426Closing equity

29 47531 058Time weighted average equity

29 84130 655Average equity

-366403Time weighted capital movement

8.5%

31 867

624

Q1 2008

1329Net income

17.1%Return on equity, annualised

30 884Opening equity

Q1 2007CHF m

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2008 YTD renewalsLower volumes but margins still adequate

Total traditional portfolio

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

100%

78%87%11% 2%-2% -20%

-4%

0%

20%

40%

60%

80%

100%

120%

Total renewable

YTD April 2008

Pending Cancelledor

replaced

Renewed Decrease on

renewal

New business/replace-

ment

Pending Estimated outcome

CHF 11.6bn CHF 10.1bn

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

-5%Decrease on renewed block0%

-3%

Exposure growth

Rates

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Swiss Re’s effective capital management

24.4

30.931.9

27.82.1

1.6

1.6

3.8

3.53.4

3.2

3.1

5.5 7.3

6.7

3.3

2.21.4

1.0

0.8

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% 2.0%

12.8%14.4% 13.1%

10.8%13.8%

17.5% 18.1%

11.0%

15.5%

0

15

30

45

2001 2002 2003 2004 2005 2006 2007 Q1 20080%

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 46

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Number of shares

- 0.8Shares repurchased via 1st trading line

369.6

+ 5.0

+ 7.2

+ 10.5

- 6.0

- 17.5

370.4

Shares reserved for ACI 2006 – 20091

334.4

- 11.7

- 6.0

- 17.5

370.4

Q1 2008

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

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Exchange rates

Geographic gross premiums written Q1 2008split by main currencies

GBP10%

EUR36%

USD37%

Other14%

CAD3% -3.57%-11.20%-1.83%-10.00%Change Factual 2007 / Q1 2008

-12.90%1.081.201.24

USD/CHF

2.86%-11.57%-0.62%Change Q1 2007 / Q1 2008

1.122.411.64Factual 20071.082.141.61Q1 2008

Average rates

2.42GBP/CHF

1.051.62Q1 2007CAD/CHFEUR/CHF

-16.52%-12.44%-5.42%-12.39%Change Factual 2007 / Q1 2008-18.85%

0.991.131.22

USD/CHF

-9.43%-17.57%-3.68%Change Q1 2007 / Q1 2008

1.152.251.66Factual 2007 0.961.971.57Q1 2008

Closing rates

2.39GBP/CHF

1.061.63Q1 2007 CAD/CHFEUR/CHF

Slide 48

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Corporate calendar & contacts

Corporate calendar

05 August 2008 Second Quarter 2008 Results (Conference Call)08 September 2008 Investors’ meeting (Monte Carlo)25 September 2008 Investors’ day (Zurich)04 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]

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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;

changes in Swiss Re’s investment results;

uncertainties in valuing credit default swaps and other credit-related instruments;

the frequency, severity and development of insured claim events;

acts of terrorism and acts of war;

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.

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 Swiss Re’s subsidiaries;

political risks in the countries in which Swiss Re operates or in which it insures risks;

extraordinary events affecting Swiss Re’s clients and other counterparties, such as bankruptcies, liquidations and other credit-related events;

risks associated with implementing Swiss Re’s 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.

Q12008 results 20080506 FINALffffee1a-f021-43be-ad5a...Slide 5 ab First Quarter 2008 results...

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Transcript of Q12008 results 20080506 FINALffffee1a-f021-43be-ad5a...Slide 5 ab First Quarter 2008 results...