Swiss Re AG · SIX:SREN
Swiss Re — Corporate Update (November 2007)
7 slides from Swiss Re's corporate update, Nov 19, 2007
Slide 1: Conference call: Swiss Re expects CHF 1.2 billion mark-to-market loss
ab Conference call Swiss Re expects CHF 1.2 billion mark-to-market loss from its credit underwriting activities Jacques Aigrain Chief Executive Officer George Quinn Chief Financial Officer Roger Ferguson Head of Financial Services 19 November 2007 ab Agenda Introduction Transaction structure O
Slide 2: Introduction; Transaction structure
ab Introduction Thorough review completed 18 November identified two related Credit Solutions transactions with exposure to MBS, including ABS CDOs – total notional is CHF 5.3 billion: – Transactions generated losses of CHF 104 million through first nine months of 2007 – October results revealed m
Slide 3: Underlying security structure; Overview of other exposures
ab Underlying security structure CHF million unless otherwise stated Category Par % of Par Oct Mkt Value % Market Value Î ABS CDO CMBS 497.3 9.4 97.0 482.3 marked to zero ABS CDO 953.0 18.1 0.0 0.0 Corp CDO 158.7 3.0 90.0 142.8 Prime MTG 1 568.7 29.8 97.0 1 521.7 Alt A/Alt B 367.9 7.0 83.0 305.3 Sub
Slide 4: Monoliners; Steps taken
ab Overview of other exposures Monoliners Wrapped securities Total exposure to wrapped securities is CHF 2.4 billion, but underlying credit is unimpaired Î No significant impairment effect on income statement expected Financial Guarantee Re Treaties exclude CDOs/CLOs, bulk of exposure is in muni
Slide 5: Appendix: Investment portfolio: Structured
ab Appendix Conference call 19 November 2007 Slide 9 ab Investment portfolio: Structured Aggregate (Global) Aggregate (US only) Market Percentage of Market value aggregate global value Percentage of US as of 9 Nov 2007 CHFm structured portfolio CHFm structured portfolio Agency CMO 6 248 18% 6 248 27
Slide 6: Financial Services assets trading portfolio; Rating of structured assets
ab Financial Services assets trading portfolio CHF million Analysis Financial Services assets classified 32 255 Corporate bonds 12 777 as ‘trading’ as at 30 Sep 2007 Equities 4 677 Other 15 637 Derivatives 3 735 ABS 3 711 Subtotal 47 892 CMO 2 298 Longevity transaction - 4 193 Cat bonds 1 867 CMBS 1
Slide 7: Breakdown of wrapped assets; Cautionary note on forward-looking statements
ab Breakdown of wrapped assets* Bonds held by percentage XL CAPITAL CIFG 6.1% 0.3% CHF milion FSA MBIA 10.7% 44.6% Total 2 406 AMBAC 18.7% Conference call FGIC 19 November 2007 19.7% Slide 13 * RMBS, CMO, CMBS, ABS, CLO, CDO Cautionary note on ab forward-looking statements Certain statements and ill