Swiss Re Ag · SIX:SREN
Swiss Re — Investor Presentation (April 2016)
16 slides from Swiss Re's investor presentation, Apr 29, 2016
Slide 1: SST versus Solvency II – Comparison analysis
SST versus Solvency II – Comparison analysis 29 April 2016
Slide 2: SST and Solvency II are equivalent but not equal
SST and Solvency II are equivalent but not equal • Swiss Re Group has been operating under the Swiss Solvency Test (SST) since 2008. SST became legally binding for all Swiss insurance and reinsurance companies in 2011 • In 2015, the European Union recognised the Swiss insurance supervision system as
Slide 3: SST and Solvency II have many similarities but also important differences
SST and Solvency II have many similarities but also important differences SST and Solvency II are both comprehensive, economic and risk-based solvency regimes: Economic balance sheet Available Capital Solvency Ratio = Market Market Required Capital value of value of Assets Liabilities Available Regu
Slide 4: Swiss Re's Group Solvency II ratio is significantly higher than our SST 2016 ratio
Swiss Re’s Group Solvency II ratio is significantly higher than our SST 2016 ratio Solvency ratio 350% +37%pts 312% +42%pts 300% +38%pts −10%pts assumed the 250% − 18%pts same as SST 1 223% 200% 150% 100% 50% 0% Group Capital cost Risk measure Modelling Valuation Eligibility of Deferred taxes Group
Slide 5: Impact of capital cost recognition
Impact of capital cost recognition SST adds run-off capital costs to available and required capital, while Solvency II does not Impact from adjusting for difference in run-off capital costs under Solvency II Impact of capital costs on SST balance sheet Solvency II balance sheet Assets Liabilities As
Slide 6: Impact of risk measure
Impact of risk measure SST applies 99% tail VaR, while Solvency II uses 99.5% VaR Impact from adjusting for difference in risk measure under Solvency II Impact of risk measure on SST balance sheet Solvency II balance sheet Assets Liabilities Assets Liabilities Regulatory Excess Regulatory Excess 99%
Slide 7: Impact of modelling differences
Impact of modelling differences Some risks are modelled differently under Solvency II SST Solvency II Run-off capital Market Value Margin: Risk Margin: Available capital costs • Tail VaR • VaR • Group-level diversification • no Group-level diversification Required capital Required capital Operationa
Slide 8: Impact of valuation difference due to discounting
Impact of valuation difference due to discounting SST and Solvency II apply different yield curves SST Solvency II Discounting Application of regulatory Credit adjusted LIBOR swap curves Available capital approved risk-free interest rates and ultimate forward rates Required capital Description of im
Slide 9: Impact of deferred taxes
Impact of deferred taxes SST is pre-tax, while Solvency II is post-tax Impact from adjusting for the different treatment of tax under Solvency II Impact of deferred taxes on SST balance sheet Solvency II balance sheet Assets Liabilities Assets Liabilities (excl. DTL) (incl. DTL) Regulatory Deferred
Slide 10: Conclusion
Conclusion • SST and Solvency II are both comprehensive, economic and risk-based solvency regimes. Although equivalent, the two regimes have important differences • Due to differences in methodology, an SST ratio translates into a Solvency II ratio that can be significantly higher. For 2016, Swiss R
Slide 11: Appendix
Appendix @ Swiss Re 11
Slide 12: Similarities and differences between SST and Solvency II
Similarities and differences between SST and Solvency II Similarities Swiss Re’s Differences In scope of this practice presentation Three pillar approach ✔ Capital cost recognition ✔ Economic balance sheet ✔ Risk measure (1-year risk) ✔ Risk-based assessment ✔ Modelling differences ✔ Internal models
Slide 13: Swiss Re uses the same internal model under SST and Solvency II
Swiss Re uses the same internal model under SST and Solvency II Swiss Re has extensive experience in risk modelling • Swiss Re uses a central proprietary integrated risk model to measure the Group’s capital requirements, for defining risk tolerance, risk limits and liquidity stress tests • Swiss Re’
Slide 14: Swiss Re's risk categorisation and limits of comparability
Swiss Re’s risk categorisation and limits of comparability Swiss Re uses the following four risk categories: Property & Casualty Life & Health Financial market Credit • Costing and reserving • Lethal pandemic • Credit spread risk • Credit default risk • Inflation • Longevity • Equity market risk • C
Slide 15: Corporate calendar & contacts
Corporate calendar & contacts Corporate calendar 2016 29 July Second Quarter 2016 Results Conference call 3 November Third Quarter 2016 Results Conference call 2 December Investors’ Day Zurich 2017 23 February Annual Results 2016 Conference call Investor Relations contacts Hotline E-mail +41 43 285
Slide 16: 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 an