Swiss Re Ag · SIX:SREN
Swiss Re — Investor Day (March 2023)
42 slides from Swiss Re's investor day presentation, Mar 17, 2023
Slide 1: 2023 Management Dialogues
2023 Management Dialogues London, 17 March 2023
Slide 2: Agenda
Agenda Time Content Management 09:30 – 09:45 Outlook and priorities Christian Mumenthaler 09:45 – 10:10 Managing natural catastrophe risks Martin Bertogg, Philipp Rüede 10:10 – 10:30 Finance and reserving update John Dacey 10:30 – 10:45 Break 10:45 – 12:15 Dialogue with management All 12:15 – 13:30
Slide 3: Outlook and priorities
Outlook and priorities Christian Mumenthaler, Group Chief Executive Officer Management Dialogues 2023 3
Slide 4: Reinsurance is entering a more conducive market environment
Reinsurance is entering a more conducive market environment – not seen for over a decade While several macroeconomic, geopolitical and environmental challenges persist, the operating environment for reinsurers is materially > more positive than in the past few years, driven by three principal factor
Slide 5: Our 2023 Group net income target reflects the positive outlook
Our 2023 Group net income target reflects the positive outlook across our businesses Enhanced P&C results USD Expected earn-through of business written in 2022 as well as contribution from 2023 business >3bn support the reported combined ratio target of <95% in P&C Re and <94% in Corporate Solutions
Slide 6: We focused on growing our business while keeping costs flat
We focused on growing our business while keeping costs flat – and we intend to stay on this course Significant growth while keeping costs flat… leading to enhanced efficiency across all units… and bringing total costs in line with peers Group premiums and operating expenses (USD bn) Operating expens
Slide 7: The new organisational set-up mirrors our Group strategy
The new organisational set-up mirrors our Group strategy – putting clients first, and expanding our focus to risk insights and partnerships Significant streamlining of senior management structure, removing one executive level and one underwriting decision level New Global Clients and Solutions Busin
Slide 8: We are committed to delivering our financial targets
We are committed to delivering our financial targets New 2023 financial targets Unchanged multi-year Group targets P&C Reported combined ratio <95% 14% Reinsurance Return on equity2 L&H Reinsurance Net income USD ~900m in 2024 Corporate Solutions Reported combined ratio <94% 10% ENW per share Swiss
Slide 9: Swiss Re's capital management priorities remain unchanged
Swiss Re’s capital management priorities remain unchanged – we aspire to grow the ordinary dividend with long term earnings Group SST ratio1 development 294% Ensure superior capitalisation Grow the ordinary dividend 269% at all times and maximise with long-term earnings, and 251% financial flexibili
Slide 10: Transition from US GAAP to IFRS 17 represents a unique opportunity
Transition from US GAAP to IFRS 17 represents a unique opportunity to demonstrate the economic value of our business Closer alignment with economic view Building on our 15+ years track record with Economic Value Management Enhanced comparability Harmonisation across the industry, leading to more tra
Slide 11: Managing natural catastrophe risks
Managing natural catastrophe risks Martin Bertogg, Head Cat Perils, Cyber & Geo Philipp Rüede, Head Alternative Capital Partners Management Dialogues 2023 11
Slide 12: Nat cat represents the core of P&C Reinsurance business
Nat cat represents the core of P&C Reinsurance business and exhibits attractive structural growth Insured nat cat losses1 (USD bn) 5-7% 175 Secondary perils 150 Primary perils (incl. secondary effects) p.a. growth over last 10-year moving average (trailing) 30 years 2017-22 average 125 100 USD 110bn
Slide 13: Nat cat industry growth due to various macro risk drivers
Nat cat industry growth due to various macro risk drivers, which are captured in catastrophe models Growth drivers Relevance Relevance Shanghai past 20 years next 20 years 1992 vs. 2020 Economic development 1992 +++ +++ Growing property values, insurance penetration Concentration in exposed areas ++
Slide 14: Global scale, diversification and proprietary nat cat modelling capabilities
Global scale, diversification and sophisticated proprietary nat cat modelling capabilities are key drivers of Swiss Re’s competitive advantage Swiss Re’s global nat cat book1 Powerful resources Illustrative ~200 models, covering >90% of global insured exposures ~30 secondary perils’ risk views added
Slide 15: Case study North Atlantic Hurricane model advancement
Case study North Atlantic Hurricane – advancing our core risk model to reflect today's risk landscape for a changing climate, severity and claims Improvements to modelling of North Atlantic Hurricane 1 Considering current state of climate Capturing correlated events in modelling Explicit implementat
Slide 16: Case study French hailstorms – model update and re-underwriting
Case study French hailstorms – model update and portfolio re-underwriting for a different outcome for 2023 portfolio June 2022 hailstorms in France Changes vs. 2022 What if 2022 events reoccurred Loss model update New curve Severe convective Increasing storm losses loss levels Previous curve Decreas
Slide 17: P&C Re's nat cat portfolio exhibits a resilient track record
P&C Re’s nat cat portfolio exhibits a resilient track record over the last 10 years Current accident year Including prior-year development US GAAP 100% combined ratio 185% of P&C Re nat cat book 108% 88% 77% 84% 77% 59% 70% 71% 51% 36% 30% FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FY 19 FY 20 FY 21 FY 22
Slide 18: Nat cat portfolio growth supported by Alternative Capital Partners
Significant growth in nat cat portfolio benefits from increasing support from Alternative Capital Partners (ACP) P&C Re’s expected nat cat losses and external retrocession (USD bn) Scenario exposures of Swiss Re Group 2.7 99.5% VaR net of retrocession (USD bn) 2.6 Expected relief from July 2022 Janu
Slide 19: Alternative Capital Partners is our unified center of expertise
Alternative Capital Partners (ACP) is our unified center of expertise in the alternative capital space Where we are coming from ACP’s strategy 1997 ILS market formation Pioneer in developing ILS market A We exist to provide alternatives to traditional structures like equity, debt and subordinated de
Slide 20: Investment fundamentals of alternative capital remain intact
Investment fundamentals of alternative capital as a lowly correlated asset class remain intact, despite recent underperformance of Collateralized Re segment Alternative capital market1 (USD bn) Outlook of alternative capital market Reflection of gross committed assets, Short-term Mid- to long-term n
Slide 21: ACP has rapidly scaled up
ACP has rapidly scaled up Exposure management Capital efficiency AC market leadership Support growth in a risk controlled-manner and Assessing capital efficiency opportunities in all Being a reputable investor in ILS and leading generate additional revenues by ceding excess lines of business to impr
Slide 22: Annual fees and commission revenues have exceeded USD 100m
Annual fees and commission revenues have exceeded USD 100m for the first time US GAAP annual fee and commission revenues (USD m) 116 85 Earned through alternative or traditional activities − > Commissions earned as a percentage of premium ceded 57 58 − Fees earned as a percent of assets under manage
Slide 23: Cyber book continues to benefit from significant rate increases
Cyber book continues to benefit from significant rate increases, however, we maintain our cautious view Swiss Re’s cyber book1 Gross premiums written (USD bn) Primary market trends 0.6 > Flood of ransomware claims led to decisive actions (incl. lower limits, rate increases and higher security requir
Slide 24: Finance and reserving update
Finance and reserving update John Dacey, Group Chief Financial Officer Management Dialogues 2023 24
Slide 25: Main headwinds of the Group's 2022 economic performance
Main headwinds of the Group’s 2022 economic performance L&H model and Large nat cat losses Economic inflation2 assumption changes1 above expectations3 USD 2.3bn USD 1.7bn USD 0.4bn 2022 contribution to ENW4 (economic earnings) USD -1.6bn 1 Negative impact on EVM profit in L&H Reinsurance due to impr
Slide 26: Economic result in 2022 impacted by model and assumption changes
Economic result in 2022 impacted by model and assumption changes Swiss Re Group Contribution to ENW (USD bn) FY 2022 key figures FY 2022 contribution to ENW by segment P&C Reinsurance USD 0.4bn USD 31bn ENW at year-end 3.8 3.7 L&H Reinsurance USD -2.1bn CHF 100 ENW per share Corporate Solutions USD
Slide 27: Economic result reflects L&H model and assumption changes vs US GAAP
Compared to US GAAP, economic result reflects L&H model and assumption changes Key differences between US GAAP reported net income and total contribution to ENW for FY 2022 Illustrative USD USD 0.5bn -1.6bn US GAAP L&H P&C Corporate Investments Total contribution net income Reinsurance Reinsurance S
Slide 28: Transitioning from US GAAP to IFRS expected to be beneficial
Transitioning from US GAAP to IFRS expected to be beneficial for Swiss Re Group shareholders’ equity, CSM and RA Illustrative as of FY 2022 Group Risk Adjustment (RA) Moving to best estimate liabilities results in a significant reduction in reserves, due Contractual > Service Margin (CSM) to the int
Slide 29: Expected profit uplift driven by L&H Re technical result
Expected profit uplift driven by L&H Re technical result due to faster recognition of in- force margins and balance sheet re-set to best estimate assumptions L&H Re cumulative earnings recognition Illustrative IFRS 17 Cumulative earnings release follows services IFRS operating income is primarily dr
Slide 30: Increase in Group SST ratio reflects higher interest rates
Increase in Group SST ratio reflects positive impact of higher interest rates and lower financial market risk Group solvency capital generation in 2022 43.4 SST -1.6 1.3 -1.9 40.9 available -1.2 0.9 capital -0.1 (USD bn)1 SST 1/2022 Economic Interest rate, Capital Other (incl. Change in Capital SST
Slide 31: Total risk reduced due to lower financial market risk
Total risk reduced due to lower financial market risk, partly offset by higher P&C risk Group SST economic target capital (USD bn) Property & +1.3 > Higher P&C risk mainly driven by updated inflation scenarios 13.7 Casualty > Lower L&H risk mainly reflects impact of higher interest rates Life & Heal
Slide 32: The Group's capital structure provides significant financial flexibility
The Group’s capital structure provides significant financial flexibility Group available capital and leverage (USD bn) Upcoming debt maturities (USD bn) Illustrative IFRS 44.5 45.8 1.7 1.0 1.1 41.5 3.2 3.0 6.3 2.2 1.0 1.3 6.6 7.2 Range of 0.3 estimated 0.8 core capital 0.5 33.7 35.4 31.1 0.3 <25% Es
Slide 33: Prior-year reserve development includes actions on economic inflation
Prior-year reserve development includes actions taken on economic inflation P&C prior-year technical result by financial year1 (USD bn) P&C reserves by financial year2 (USD bn) -1.3 -0.2 0.5 -0.2 54 51 +2.2 1.5 49 42 1.0 38 39 58% 59% 0.5 59% 55% 55% 57% 0.0 +0.7 -0.5 45% 41% 42% 41% -1.0 45% 43% -1
Slide 34: Recent liability loss picks reflect improved pricing environment
Recent liability loss picks reflect improved pricing environment and portfolio actions Liability reinsurance portfolio by underwriting year Ultimate loss ratio1 and price index2 200% 180% We have meaningfully de-risked our US 160% liability portfolio by reducing our exposure to > Large Corporate Ris
Slide 35: Break
Break Management Dialogues 2023 35
Slide 36: Dialogue with management
Dialogue with management Christian Mumenthaler, Group Chief Executive Officer John Dacey, Group Chief Financial Officer Martin Bertogg, Head Cat Perils, Cyber & Geo Philipp Rüede, Head Alternative Capital Partners Management Dialogues 2023 36
Slide 37: Speaker CVs
Speaker CVs Christian Mumenthaler Group Chief Executive Officer Christian Mumenthaler was appointed as Group Chief Executive Officer in July 2016. Christian Mumenthaler started his career in 1997 as associate with Boston Consulting Group. He joined Swiss Re in 1999 and wa s responsible for key compa
Slide 38: Speaker CVs
Speaker CVs Martin Bertogg Head Cat Perils, Cyber & Geo Martin Bertogg is responsible for Swiss Re's Nat Cat research and model development globally since 2017. His team builds and maintains natural perils risk assessment models, guiding all Swiss Re’s underwriting of earthquake, wind, and flood ris
Slide 39: Corporate calendar and contacts
Corporate calendar and contacts Corporate calendar 2023 12 April 159th Annual General Meeting Zurich 04 May Q1 2023 Results Conference call 04 August H1 2023 Results Conference call 03 November 9M 2023 Results Conference call 01 December Investors’ Day 2023 Zurich Investor Relations contacts Hotline
Slide 40: Management Dialogues 2023
Management Dialogues 2023 40
Slide 41: Cautionary note on forward-looking statements
Cautionary note on forward-looking statements Certain statements and illustrations contained herein are forward-looking. These statements (including as to plans, objectives, targets, and trends) and illustrations provide current expectations of future events based on certain assumptions and include
Slide 42: Legal notice
Legal notice ©2023 Swiss Re. All rights reserved. You may use this presentation for private or internal purposes but note that any copyright or other proprietary notices must not be removed. You are not permitted to create any modifications or derivative works of this presentation, or to use it for