Zurich Insurance Group Ltd · SIX:ZURN
Zurich Insurance — H1 2012 Earnings Presentation
73 slides from Zurich Insurance's earnings presentation, Aug 16, 2012
Slide 1: Half year results reporting 2012
Half year results reporting 2012 Analysts and Media Presentation August 16, 2012
Slide 2: Disclaimer and cautionary statement
Disclaimer and cautionary statement Certain statements in this document are forward-looking statements, including, but not limited to, statements that are predications of or indicate future events, trends, plans or objectives of Zurich Insurance Group Ltd or the Zurich Insurance Group (the Group). F
Slide 3: HY 2012 Results Key Messages
HY 2012 Results Key Messages Strong profitability with excellent underwriting performance Focus on pricing and portfolio management Successful top-line growth in target markets Resilient performance in mature markets Strong capital position driven by risk management discipline © Zurich Insurance Com
Slide 4: Financial highlights
Financial highlights in USD millions 2012 20111 Change for the six months to June 30 Business operating profit (BOP) 2,506 2,141 17% Net income attributable to shareholders 2,218 1,971 13% General Insurance combined ratio 94.9% 99.3% 4.4 pts Global Life new business value2 424 511 -17% Farmers Mgmt
Slide 5: Business operating profit and net income by quarter
Business operating profit and net income by quarter Business operating profit in USD millions 1,500 1,376 1,287 1,117 1,131 1,004 1,000 854 500 0 Q1-2011 Q2-2011 Q3-2011 Q4-2011 Q1-2012 Q2-2012 Net income attributable to shareholders in USD millions 1,500 1,331 1,239 1,143 1,075 1,000 640 © Zurich I
Slide 6: Business operating profit by segment
Business operating profit by segment in USD millions 2012 2011 Change for the six months to June 30 General Insurance 1,630 1,115 46% Global Life 651 728 -11% Farmers (including Farmers Re) 601 729 -18% Other Operating Businesses -469 -397 -18% Total BOP Operating business segments 2,413 2,175 11% N
Slide 7: General Insurance – key performance indicators
General Insurance – key performance indicators in USD millions 2012 2011 Change Change for the six months to June 30 in LC1 GWP and policy fees 19,153 18,876 1% 5% Rate change2 3.5% 3.2% 0.3pts Loss ratio 67.5% 72.8% 5.3pts Expense ratio 27.4% 26.5% -0.9pts Combined ratio 94.9% 99.3% 4.4pts Business
Slide 8: General Insurance – Rate Change Monitor and GWP performance
General Insurance – Rate Change Monitor1 and GWP performance Rate Change Monitor1 Half Year 2012 Discrete Q2 2012 Int’l Total Int’l Total GC NAC Europe Markets GI GC NAC Europe Markets GI Personal Lines n/a n/a 3% 5% 3% n/a n/a 3% 5% 3% Commercial Lines 4% 4% 2% 3% 4% 5% 5% 3% 3% 4% Gross Written Pr
Slide 9: General Insurance – comparison of loss ratio
General Insurance – comparison of loss ratio 75% HY-2012 HY-2011 72.8% Loss ratio development Discrete quarters 2.6pts Underlying loss ratio 70% improvement 76.9% 67.5% 71.4% 70.7% 68.9% 67.5% 67.6% 65% 64.2% -0.1% -8.9% 61.6% 0.2% 60% 4.2% -3.9% 2.6% -0.0% -8.7% USD USD USD USD USD USD USD 44m 374m
Slide 10: General Insurance – expense ratio walk from HY-11 to HY-12
General Insurance – expense ratio walk from HY-11 to HY-12 26.5% 27.4% Change year-over-year Expense ratio development Other tech In percentage points Discrete quarters, in percentage points 13.9% expenses1 14.2% 0.2 0.9 28.2 26.6 26.3 26.4 27.1 27.6 0.1 Other tech expenses1 0.6 13.5 15.5 14.2 14.2
Slide 11: General Insurance – BOP and Combined ratio by business
General Insurance – BOP and Combined ratio by business Business operating profit Combined ratio (%) in USD millions 2012 2011 Change Global 90.5 for the six months to June 30 Corporate CAT4 13.6 107.0 Global Corporate 498 60 nm 95.3 NA Commercial 99.3 North America Commercial 517 426 21% Europe 515
Slide 12: Global Life – key performance indicators
Global Life – key performance indicators in USD millions 2012 2011 Change Change for the six months to June 30 in LC2 GWP and policy fees (incl. insurance 14,718 13,267 11% 18% deposits) Net inflows to Assets under Mgmt 889 1,155 -23% -20% Annual Premium Equivalent (APE) 1,793 1,899 -6% -1% New busi
Slide 13: Global Life – new business by pillar
Global Life – new business by pillar in USD millions NBV NBV Change APE APE Change for the six months to June 30 20121 20111 in LC2 2012 2011 in LC2 Bank Distribution 60 94 -31% 211 318 -28% IFA/Brokers 83 85 3% 382 485 -17% Agents 63 59 10% 198 235 -12% International / Expats 33 45 -25% 130 156 -14
Slide 14: Global Life – Business operating profit: Profit by Source
Global Life – Business operating profit: Profit by Source in USD millions New Business Business in Force Total for the six months to June 30 2012 2011 2012 2011 2012 2011 Net Expense margin -720 -772 751 720 31 -52 Net Risk margin 355 348 355 348 Net Investment margin 265 396 265 396 Other profit ma
Slide 15: Santander - Business operating profit (BOP) reconciliation & update
Santander - Business operating profit (BOP) reconciliation & update BOP recorded in IFRS accounts* Local business performance HY12 vs HY11 in USD 219m Statutory PBT1,2 GWP & insurance deposits grew 19% to USD 2.16bn -14m Adjustments3 Local statutory profit before tax -91m Amortization of increase by
Slide 16: Farmers – key performance indicators
Farmers – key performance indicators in USD millions 2012 2011 Change for the six months to June 30 Farmers Management Services Managed gross earned premium margin1 7.4% 7.2% 0.2 pts Business operating profit 711 674 6% Farmers Re2 Combined ratio 108.2% 101.1% -7.1 pts Business operating profit -110
Slide 17: Investment performance of Group Investments
Investment performance of Group Investments in USD millions 2012 2011 Change For the six months to June 30 Net investment income 3,440 3,655 -6% Net capital gains/(losses) on investments and 656 561 17% impairments1 of which attributable to shareholders 494 473 5% Net investment result 4,096 4,216 -
Slide 18: Active risk management reduced risk-based capital consumed by USD 2 billion
Active risk management reduced risk- based capital consumed by USD 2 billion Risk-based capital consumed by Strategic Asset Allocation investment risks ALM/Market and Investment Credit risk capital consumed increased materially in HY-11 and Q1-12 (USD billion) Reduced exposures to credit, equity ris
Slide 19: Development of shareholders’ equity in Q2 2012
Development of shareholders’ equity in Q2 2012 in USD millions 33,000 1,075 -19 -385 -116 51 32,421 32,000 31,815 31,000 30,000 29,000 28,000 27,000 26,000 25,000 24,000 © Zurich Insurance Company Ltd Balance as of Net Income Change in net Cumulative Net actuarial Other Balance as of March 31, 2012
Slide 20: HY 2012 Results Key Messages
HY 2012 Results Key Messages Strong profitability with excellent underwriting performance Focus on pricing and portfolio management Successful top-line growth in target markets Resilient performance in mature markets Strong capital position driven by risk management discipline © Zurich Insurance Com
Slide 21: Appendix
Appendix © Zurich Insurance Company Ltd August 16, 2012 Half HalfYear yearResults results Reporting reporting 2012 21
Slide 22: Top line development by segment
Top line development by segment in USD millions 2012 2011 Change Change for the six months to June 30 in LC1 General Insurance GWP and policy fees 19,153 18,876 1% 5% Global Life GWP and policy fees and insurance 14,718 13,267 11% 18% deposits Annual Premium Equivalent (APE)2 1,793 1,899 -6% -1% Far
Slide 23: Development of shareholders’ equity in HY 2012
Development of shareholders’ equity in HY 2012 in USD millions 33,000 118 140 32,421 1,046 26 32,000 31,636 -1,923 2,218 31,000 30,000 -840 29,000 28,000 27,000 26,000 25,000 24,000 © Zurich Insurance Company Ltd Balance as of Dividends1 Cumulative Net Income Change in net Cumulative Net actuarial O
Slide 24: Business division BOP-ROE based on RBC-allocated IFRS equity
Business division BOP-ROE1 based on RBC-allocated IFRS equity for the six months to June 30 2012 2011 General Insurance 20.7% 13.6% Global Corporate 23.0% 3.5% North America Commercial 20.7% 15.2% Europe 23.1% 30.6% International Markets 9.2% -26.8% GI Global Functions including Group Reinsurance 10
Slide 25: Z-ECM Risk Based Capital (RBC) by segment and risk type for 2012
Z-ECM Risk Based Capital (RBC) by segment and risk type for 2012 Capital Allocation: Total RBC: USD 39 billion1,4 USD 37 billion4 9% 9% 8% Other2 ALM/Market risk Farmers1 13% Operational risk General 39% Insurance 2% Business risk 49% 3% P&R risk3 Re-ins credit risk Global Life Life insurance risk 3
Slide 26: Solvency calculations
Solvency calculations Solvency ratios in % 2 Z-ECM 1 231 232 223 232 225 242 242 185 124 119 122 103 SST Solvency I HY10 FY10 HY11 FY11 Z-ECM3 position in USD billions 31 Dec 30 June 2011 2011 Available Financial Resources (AFR) 40.5 41.4 AFR after dividend accrual3 37.8 39.9 4 Risk Based Capital (R
Slide 27: Capital management driven by Zurich Economic Capital Model (Z-ECM)
Capital management driven by Zurich Economic Capital Model (Z-ECM) Z-ECM capital actions SST Framework >120% Z-ECM >120% - Consider increased No action required Above target risk taking and/or remedial actions 120% 100% - 120% No actions required as within AA Target range stated objective and equiva
Slide 28: Z-ECM ratio development
Z-ECM1 ratio development in USD billions (rounded) 136% 119% 40 126% 103% 41 40 1 116% 38 37 38 2 35 Available to policyholders 106% 34 34 30 95% 30 30 30 29 28 27 25 27 20 15 10 5 RBC AFR RBC AFR RBC AFR RBC AFR RBC AFR RBC AFR RBC AFR 0 Jan. 1 Jan. 1 Jan. 1 Jan. 1 Jan. 1 Jan. 1 Jan. 1 2006 2007 20
Slide 29: Estimation of Available Financial Resources (AFR) as of January 1, 2012
Estimation of Available Financial Resources (AFR) as of January 1, 2012 in USD billions (rounded) 45 40 (2) 10 40 35 38 30 32 (3) 29 17 25 20 (16) 15 10 5 0 Reported Distributions Net Net Value of in- Financial debt Total AFR2 Capital Net AFR 1 shareholders' shareholders' intangibles force allocatio
Slide 30: Solvency ratio sensitivities
Solvency ratio sensitivities Solvency ratio impact1 5 Z-ECM SST 4 Solvency I 103% FY 2011 185% 242% 114% Interest rate +100 bps 203% 203% 95% Interest rate -100 bps 160% 282% 106% 3 Equities +25% 189% 258% 100% 3 Equities -25% 182% 225% 86% 2 Credit spreads +100 bps 155% © Zurich Insurance Company L
Slide 31: Z-ECM ratio from HY 2011 to FY 2011
Z-ECM ratio from HY 2011 to FY 2011 Development of the Z-ECM ratio The Z-ECM ratio decline is primarily driven by; 122% 16% Significant falls in long-term 2% 1% 103% swap rates, particularly in EUR and CHF increasing interest rate risk in the German and Swiss Life businesses Increasing interest rate
Slide 32: Z-ECM and SST key differences
Z-ECM and SST key differences = more onerous Key parameters Z-ECM SST Impact1 VaR 99.95% Expected Shortfall 99% Calibration +++ Comparable to AA Comparable to BBB Swap-rates (without liquidity Government rates (without LP) Risk-free yield curve ++ premium (LP)) (German Bund for EUR) Operational risk
Slide 33: SST ratio from HY 2011 to FY 2011
SST ratio from HY 2011 to FY 2011 Development of the SST Ratio The SST ratio decline is primarily driven by; 225% 21% 5% Significant falls in long-term 5% 194% 9% interest rates in core 185% sovereign bond markets, used to discount liabilities Increasing interest rates in European peripheral soverei
Slide 34: Strong cash flow generation continued in 2011
Strong cash flow generation continued in 2011 Dividend to shareholders Redeployment Central liquidity pool Run rate cash outflows1 -0.6 -1.0 4.3 0.4 2.4 0.9 0.6 Net cash remittance2 Capital consumption/ requirement © Zurich Insurance Company Ltd Reduced capital consumption NCB GI Farmers Global New
Slide 35: General Insurance – Rate Change Monitor for personal and commercial lines
General Insurance – Rate Change Monitor1 for personal and commercial lines Half Year 2012 Discrete Q2 2012 Int’l Total Int’l Total GC NAC Europe Markets GI GC NAC Europe Markets GI Personal Lines n/a n/a 3% 5% 3% n/a n/a 3% 5% 3% Commercial Lines 4% 4% 2% 3% 4% 5% 5% 3% 3% 4% Europe by country Europ
Slide 36: General Insurance – written rate change 2008 through Q2-12
General Insurance – written rate change 2008 through Q2-12 Rate change 5% 4.2% 3.9% 4.1% 3.9% 3.7% 4 3.6% 3.7% 2.6% 3.1% 3 2.3% 2.7% 2.1% 2.0% 2 1.7% 1.2% 1 0% 2008 -1 -0.7% 2009 -2 2010 -2.4% 2011 -3 -3.0% 2012 -4 Q1 Q2 Q3 Q4 © Zurich Insurance Company Ltd August 16, 2012 Half year results reportin
Slide 37: General Insurance - Gross written premiums and policy fees
General Insurance - Gross written premiums and policy fees In USD millions 2012 2011 Change Change for the six months to June 30 in LC1 Global Corporate 4,720 4,714 0% 3% North America Commercial 5,069 4,852 4% 5% Europe 6,924 7,480 -7% -2% International Markets 2,653 2,212 20% 27% GI Global Functio
Slide 38: Development of Reserves for Losses and Loss Adjustment Expenses (LAE)
Development of Reserves for Losses and Loss Adjustment Expenses (LAE) in USD millions 2012 2011 Net reserves for losses and LAE, as of January 1 55,124 56,014 Net losses and LAE paid -11,326 -11,497 Net losses and LAE incurred 11,316 10,869 - Current year 11,690 11,536 - Prior years1 -374 -667 Forei
Slide 39: Reinsurance program to reduce volatility from Nat Cat severity and frequency
Reinsurance program to reduce volatility from Nat Cat severity and frequency US Catastrophe Euro Catastrophe International Treaty2 Treaty3 Cat Treaty4 Excess of loss protection1 USD 1,042m USD 1,400m USD 395m Retention USD (2011: USD 1,000 1,000m) (EUR 1,100m) (2011: USD 350m) (2011: EUR 1,200m) Co-
Slide 40: Global Life – Regional Profit by Source (1/4)
Global Life – Business operating profit: Regional Profit by Source (1/4) in USD millions North America Latin America Europe for the six months to June 30 2012 2011 2012 2011 2012 2011 Net Expense margin 25 23 -13 -5 53 -26 Net Risk margin 57 72 24 15 227 208 Net Investment margin 41 45 19 20 178 291
Slide 41: Global Life – Regional Profit by Source (2/4)
Global Life – Business operating profit: Regional Profit by Source (2/4) in USD millions APME Other Total for the six months to June 30 2012 2011 2012 2011 2012 2011 Net Expense margin -25 -36 -8 -7 31 -52 Net Risk margin 32 32 16 22 355 348 Net Investment margin 25 34 2 6 265 396 Other profit margi
Slide 42: Global Life – Europe Profit by Source (3/4)
Global Life – Business operating profit: Europe Profit by Source (3/4) in USD millions UK Germany Switzerland for the six months to June 30 2012 2011 2012 2011 2012 2011 Net Expense margin 22 -23 90 63 -8 9 Net Risk margin 44 66 37 38 70 40 Net Investment margin 27 32 1 79 83 77 Other profit margins
Slide 43: Global Life – Europe Profit by Source (4/4)
Global Life – Business operating profit: Europe Profit by Source (4/4) in USD millions Ireland Spain Rest of Europe for the six months to June 30 2012 2011 2012 2011 2012 2011 Net Expense margin -48 -67 26 19 -29 -27 Net Risk margin 35 37 29 28 13 -0 Net Investment margin 4 11 19 34 44 57 Other prof
Slide 44: Global Life – new business by region/country
Global Life – new business by region/country in USD millions NBV1 NBV1 Change APE APE Change for the six months to June 30 2012 2011 in LC2 2012 2011 in LC2 North America 50 22 126% 62 50 23% Latin America 37 33 22% 154 138 21% Europe 214 269 -16% 1,260 1,322 - United Kingdom 98 73 38% 596 536 14% G
Slide 45: Global Life – Embedded Value result
Global Life – Embedded Value result for the six months to June 30 2012 2012 2011 2011 USD m Return USD m Return Opening Embedded Value 15,846 16,472 New business value 424 511 Expected contribution1 504 401 Operating variance -119 -252 Total operating earnings 808 11.3% 660 9.9% Economic variance an
Slide 46: Global Life - Assets under Management
Global Life - Assets under Management1 AuM have increased compared to January 1, 2012 on a local currency basis Split of AuM Development of AuM3 in USD billions in USD billions 237 220 Balance as of 26 220 Jan 1, 2012 25 Inflows 15 105 102 Outflows -14 Market movements 105 93 19 and Other2 Currency
Slide 47: Zinszusatzreserve (ZZR) requirement in Germany
Zinszusatzreserve (ZZR) requirement in Germany What is it and how is it calculated? How much will be transferred in H2 2012? The ZZR is a local statutory requirement, applying Based on current liability maturities and reference across the German industry rate, a further EUR 99m would need to be cont
Slide 48: Farmers Management Services – key performance indicators
Farmers – Farmers Management Services – key performance indicators in USD millions 2012 2011 Change for the six months to June 30 Management fees and other related revenues 1,420 1,375 3% Management and other related expenses -731 -724 -1% Gross management result 688 651 6% Managed gross earned prem
Slide 49: Farmers Re – key performance indicators
Farmers – Farmers Re1 – key performance indicators in USD millions 2012 2011 Change for the six months to June 30 Gross written premiums2 2,211 1,481 49% Net underwriting result -179 -16 nm Combined ratio 108.2% 101.1% -7.1 pts CAT impact3 9.4% 7.8% -1.6 pts Business operating profit -110 55 nm © Zu
Slide 50: Farmers Exchanges – key performance indicators
Farmers Exchanges1 – key performance indicators in USD millions 2012 2011 Change for the six months to June 30 Gross written premiums 9,546 9,168 4.1% Net underwriting result2 -912 -741 -23.1% Expense ratio 33.3% 34.3% 1.0 pts Loss ratio 75.8% 73.5% -2.3 pts Combined ratio2 109.2% 107.8% -1.3 pts Ad
Slide 51: Farmers Exchanges – update on 21st Century
Farmers Exchanges – update on 21st Century1,2 GWP by distribution channel (Direct vs Agency) Agency3 GWP in Q2-12 of USD 481m reflects: Direct Direct: Q2-12 premium production 536 488 494 507 517 continues to be strong as Q2-12 GWP 482 474 481 GWP in USD m 57 9 437 458 was up 5.3% over Q2-11. 42 479
Slide 52: Farmers Exchanges – financial highlights
Farmers Exchanges – financial highlights in USD millions 2012 2011 for the six months to June 30 Gross written premiums 9,546 9.168 Net underwriting result1 -912 -741 Beginning surplus2 5,656 5,960 Net surplus growth2 -292 -226 Ending surplus2 5,364 5,733 Surplus Ratio2 36.6% 38.4% ‘05 ‘06 ‘07 ‘08 ‘
Slide 53: Exchanges’ 2012 catastrophe reinsurance provides comprehensive protection
Exchanges’ 2012 catastrophe reinsurance provides comprehensive protection1 California Gulf Hurricane Other Florida Hurricane excl. Florida in USD millions Comprehensive CAT cover designed to mitigate 250 year events to tolerable net CA Wildfires + TX Hurricane position Contingent Surplus Notes (500m
Slide 54: Farmers Exchanges – gross written premiums by line of business
Farmers Exchanges – gross written premiums by line of business in USD millions 2012 2011 Change for the six months to June 30 Auto1 4,984 4,828 3.2% of which 21st Century Direct2 998 944 5.6% Homeowners 2,276 2,198 3.5% Business Insurance2 1,209 1,145 5.6% Specialty 1,008 930 8.4% Other 71 69 3.0% T
Slide 55: Farmers Exchanges – gross written premiums by line of business
Farmers Exchanges – gross written premiums by line of business in USD millions Q2-12 Q2-11 Change for the three months to June 30 Auto1 2,432 2,368 2.7% of which 21st Century Direct2 481 457 5.3% Homeowners 1,255 1,208 3.9% Business Insurance2 605 576 5.0% Specialty 525 485 8.2% Other 30 33 -8.0% To
Slide 56: Farmers Exchanges – premium growth
Farmers Exchanges – premium growth GWP growth1 12% 10.1% 10% 9.1% 8% 6.5% 6.1% 5.7% 5.7% 6% 5.4% 5.4% 5.0% 5.1% 4.5% 4.7% 4.6% 4.2% 4.1% 4% 3.1% 2.9% 1.8% 1.5% 2% 1.1% 0.7% 0% 3M 6M 9M FY 3M 6M 9M FY 3M 6M 9M FY 3M 6M 9M FY 3M 6M 9M FY 3M 6M -0.4% © Zurich Insurance Company Ltd -2% ‘07 ‘08 ‘09 ‘10 ‘
Slide 57: Farmers Exchanges – policies in force Half Year 2012 (1/2)
Farmers Exchanges – policies in force Half Year 2012 (1/2) in thousand policies June 2012 HY-12 2011 Ending Change Ending # % Auto 12,027 40 0.3% 11,986 of which 21st Century Direct1 2,427 7 0.3% 2,420 Homeowners 5,171 57 1.1% 5,114 Business Insurance1 638 8 1.3% 630 Specialty 2,858 85 3.1% 2,772 Ot
Slide 58: Farmers Exchanges – policies in force Q2-2012 (2/2)
Farmers Exchanges – policies in force Q2-2012 (2/2) in thousand policies June 2012 Q2-12 March 2012 Ending Change Ending # % Auto 12,027 -52 -0.3% 12,079 of which 21st Century Direct1 2,427 -9 -0.4% 2,436 Homeowners 5,171 30 0.6% 5,142 Business Insurance1 638 4 0.7% 634 Specialty 2,858 47 1.7% 2,810
Slide 59: Farmers Exchanges – combined ratio
Farmers Exchanges – combined ratio for the six months to June 30 20121 20111 Change Auto2,5 107.3% 103.9% -3.4 pts Homeowners 117.3% 111.8% -5.5 pts Business Insurance5 115.3% 117.5% 2.2 pts Specialty 95.7% 115.5% 19.8 pts Total 109.2% 107.8% -1.3 pts Adjusted combined ratio3 102.3% 100.9% -1.4 pts
Slide 60: Farmers Exchanges – development of the combined ratio
Farmers Exchanges – development of the combined ratio Quarterly combined ratio CAT1 impact Incl. 120% 17 Catastrophe Incl. Incl. Events 13 Catastrophe Ike & Gustav Events 115% 110% Incl. Incl. Irene Rita & Katrina 105% Incl. California wildfires 100% 95% 90% © Zurich Insurance Company Ltd 85% Q1 Q2
Slide 61: Farmers Exchanges – Competitor Snapshot
Farmers Exchanges – Competitor Snapshot Growth vs. GAAP Combined Ratio – Overall P&C1, 3 Growth NPW % 10 June 2012 3 USAA GEICO 4 March 2012 8 Progressive 6 3 Liberty Mutual 4 Allstate 2 Nationwide 3 Farmers 2 Mercury Travelers Hartford 0 State Farm 3 American Family 3 -2 Combined Ratio (% NPE) © Zu
Slide 62: Other Operating and Non-Core Businesses – Business operating profit contribution
Other Operating and Non-Core Businesses – Business operating profit contribution in USD millions 2012 2011 Change for the six months to June 30 Other Operating Businesses - Holding and financing -379 -293 -29% - Headquarters -90 -104 13% Total Other Operating Businesses -469 -397 -18% Non-Core Busin
Slide 63: Zurich’s investment portfolio benefits greatly from diversification
Zurich’s investment portfolio benefits greatly from diversification and is balanced in terms of risk Risk Allocation of Zurich’s investment portfolio As of June 30, 2012 Asset allocation (%) Risk diversification Risk exposure (%)1 and matching (%) 100 Hedge Funds / Liquidity Real Estate Private Equi
Slide 64: Group Investments – Zurich’s debt securities are of high credit quality
Group Investments – Zurich’s debt securities are of high credit quality (98.2% investment grade) As of June 30, 2012 Group Investments Debt securities USD 199bn USD 147bn credit rating: AAA 32.5% credit rating: AA 31.5% Other Debt 98.2% asset securities investment classes grade 26% 74% credit rating
Slide 65: Group Investments – Zurich’s debt securities are well balanced
Group Investments – Zurich’s debt securities are well balanced Group Investments - USD 199bn (100%) As of June 30, 2012 Government and government related bonds: USD 71bn (36%) of which: Market/Cost: 104% 40%in General Insurance 98% inv. grade 51% in Global Life 42% AAA 37% AA 3% A 15%
Slide 66: Group Investments – Government & government related bonds are well diversified
Group Investments – Government & government related bonds are well diversified Group Investments - USD 199bn (100%) As of June 30, 2012 Government and government related bonds: USD 71bn1 (36%) Market/Cost: 104% of which: 98% inv. grade 40% in General Insurance 42% AAA 51% in Global Life 37
Slide 67: Group Investments – Eurozone government & government related bonds are well diversified
Group Investments – Eurozone government & government related bonds are well diversified Group Investments - USD 199bn (100%) Eurozone Government and government As of June 30, 2012 related bonds: USD 31bn (15%) Market/Cost: 101% of which: Split by credit rating 28% in General Insurance 97% inv. g
Slide 68: Group Investments – Corporate bonds are of high credit quality
Group Investments – Corporate bonds are of high credit quality Group Investments - USD 199bn (100%) As of June 30, 2012 Corporate bonds: USD 56bn (28%) Market/Cost: 105% Split by industries Split by credit rating 45% Banks, 99% inv. grade including 19.9%1 covered bonds 18% AAA 8% Utilities
Slide 69: Group Investments – Banks corporate bonds are of high credit quality and well diversified
Group Investments – Banks corporate bonds are of high credit quality and well diversified Group Investments - USD 199bn (100%) As of June 30, 2012 Banks Corporate bonds: USD 25bn (13%) Market/Cost: 104% Split by seniority Split by credit rating 44% Covered bonds 99% inv. grade 45% Senior bonds
Slide 70: Group Investments – MBS/ABS are of high credit quality
Group Investments – MBS/ABS are of high credit quality Group Investments - USD 199bn (100%) MBS/ABS: USD 21bn (10%) As of June 30, 2012 Market/Cost: 104% 98% inv. grade 37% AAA includes: US MBS: USD 14.4bn (7.3%) Market/Cost: 105% 98% inv. grade; 21% AAA Debt securities US ABS1: USD 3.9bn (2.0
Slide 71: Group Investments – US MBS are of high credit quality
Group Investments – US MBS are of high credit quality Group Investments - USD 199bn (100%) As of June 30, 2012 US-MBS: USD 14.4bn (7.3%) Market/Cost: 105% 98% inv. grade 21% AAA Debt of which: securities US “Agency” MBS: USD 10.1bn (5.1%) Market/Cost: 105% 74% 100% AA+ USD 2.5bn backed by GN
Slide 72: Group Investments – net capital gains / losses
Group Investments – net capital gains / losses Net capital losses/gains on investments and impairments (in P&L) Equity investments Equity investments Debt investments of which: impairments Debt investments in USD millions Other investments in USD millions Other investments 750 750 511 388 250 200 16
Slide 73: Group investments – movements in net unrealized gains / losses
Group investments – movements in net unrealized gains / losses Change in net unrealized gains / losses on investments incl. in shareholders’ equity1 in USD millions 2000 1,721 1,645 1500 1000 716 397 500 76 13 6 0 Equity investments -7 Debt investments -319 Other investments -500 Q1-2012 Q2-2012 HY-
Zurich Insurance Group — H1 2012 Earnings Presentation on 6ix