Zurich Insurance Group Ltd · SIX:ZURN

Zurich Insurance — H1 2011 Earnings Presentation

65 slides from Zurich Insurance's earnings presentation, Aug 11, 2011

  1. Slide 1: Half Year Results Reporting 2011

    Half Year Results Reporting 2011 Analysts and Media Presentation August 11, 2011

  2. 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 Financial Services Ltd or the Zurich Financial Services Group (t

  3. Slide 3: HY 2011 Results Key Messages

    HY 2011 Results Key Messages Strong Q2 results driven by excellent underwriting performance Improved Q2 top-line growth in both mature and emerging markets Continuing strong cash flow generation from the businesses Strong capital base and solvency position materially unchanged © Zurich Financial Ser

  4. Slide 4: Financial highlights

    Financial highlights in USD millions 2011 2010 Change for the six months to June 30 Business operating profit (BOP) 2,132 2,286 -7% Net income attributable to shareholders 1,965 1,642 20% General Insurance combined ratio 99.3% 98.0% -1.4pts Global Life new business value1 511 405 26% Farmers Mgmt Se

  5. 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 1,350 1,283 1,259 1,240 1,027 1,000 849 500 0 Q1-2010 Q2-2010 Q3-2010 Q4-2010 Q1-2011 Q2-2011 Net income attributable to shareholders in USD millions 1,500 1,328 1,040 1,000 935 707 751 637 © Zurich F

  6. Slide 6: Business operating profit by segment

    Business operating profit by segment in USD millions 2011 2010 Change for the six months to June 30 General Insurance 1,106 1,377 -20% Global Life 728 720 1% Farmers (including Farmers Re) 729 845 -14% Other Operating Businesses -397 -361 -10% Total BOP Operating business segments 2,167 2,581 -16% N

  7. Slide 7: General Insurance – key performance indicators

    General Insurance – key performance indicators in USD millions 2011 2010 Change Change for the six months to June 30 in LC1 GWP and policy fees 18,876 17,940 5% 0% Rate change2 3.2% 2.0% 1.2pts Loss ratio 72.8% 71.0% -1.8pts Expense ratio 26.5% 27.0% 0.5pts Combined ratio 99.3% 98.0% -1.4pts Busines

  8. Slide 8: General Insurance – Rate Change Monitor for personal and commercial lines

    General Insurance – Rate Change Monitor1 for personal and commercial lines Half Year 2011 3 months 2011 Int’l Total Int’l Total GC NAC Europe Markets GI GC NAC Europe Markets GI Personal Lines n/a n/a 5% 2% 5% n/a n/a 5% 1% 4% Commercial Lines 3% 3% 2% 5% 2% 2% 2% 1% 7% 2% Europe by country Europe b

  9. Slide 9: General Insurance – comparison of loss ratio

    General Insurance – comparison of loss ratio HY-2011 HY-2010 75% Loss ratio development 72.8% Discrete quarters USD 200m / 1.4% US weather in Q2-11 71.0% Underlying loss ratio (tornadoes, hail) 70% 77.0% 72.2% 69.8% 71.0% 71.4% 68.9% 66.4% 65% 64.2% 8.9% 7.4% 4.2% 1.5% 60% 4.2% 3.9% USD USD USD USD

  10. Slide 10: General Insurance – expense ratio walk from HY-10 to HY-11

    General Insurance – expense ratio walk from HY-10 to HY-11 27.0% 26.5% Change year-over-year Expense ratio development Other tech Discrete quarters 14.3% expenses 13.9% 26.9% 27.0% 26.4% 26.9% 26.6% -0.1 -0.5 26.4% -0.1 -0.3 12.7% Commissions 12.6% e pe W s x i on ng Ta es ex er U ns ha iss ium c mm

  11. Slide 11: Reinsurance program to reduce volatility from Nat Cat severity and frequency

    Reinsurance program to reduce volatility from Nat Cat severity and frequency Intern. Top Layer US Catastrophe Euro Catastrophe Cat Treaty4 Treaty2 Treaty3 USD 100m International USD 1,000m USD 1,740m Cat Treaty4 USD 1,000 Excess of loss USD 250m protection1 Retention USD 500m USD 175m USD 360m Co-pa

  12. Slide 12: Global Life – key performance indicators

    Global Life – key performance indicators in USD millions 2011 2010 Change Change for the six months to June 30 in LC1 GWP and policy fees (incl. insurance 13,267 13,111 1% -5% deposits) Net inflows to Assets under Mgmt 1,155 2,949 -61% -64% Annual Premium Equivalent (APE) 1,899 1,716 11% 4% New busi

  13. 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 2011 20101 in LC2 2011 2010 in LC2 Bank Distribution 94 113 -21% 318 422 -28% IFA/Brokers 85 98 -20% 485 497 -8% Agents 59 58 -2% 235 217 2% International / Expats 45 33 30% 156 123 18% C

  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 2011 2010 2011 2010 2011 2010 Net Expense margin -774 -764 719 697 -55 -67 Net Risk margin 351 312 351 312 Net Investment margin 396 365 396 365 Other profit m

  15. Slide 15: Farmers – key performance indicators

    Farmers – key performance indicators in USD millions 2011 2010 Change for the six months to June 30 Farmers Management Services Managed gross earned premium margin1 7.2% 7.4% -0.2pts Business operating profit 674 694 -2.9% Farmers Re Business operating profit 55 151 -63.4% Farmers Exchanges1 Gross w

  16. Slide 16: Investment performance of Group Investments

    Investment performance of Group Investments in USD millions 2011 2010 Change for the six months to June 30 Net investment income 3,655 3,561 3% Net capital gains/(losses) on investments and 561 418 34% impairments1 of which attributable to shareholders 473 46 nm Net investment result 4,216 3,979 6%

  17. Slide 17: Development of shareholders’ equity in Q2 2011

    Development of shareholders’ equity in Q2 2011 in USD millions 32,000 1,328 38 -165 6 -318 131 31,153 31,000 30,133 30,000 29,000 28,000 27,000 26,000 25,000 24,000 Balance as Net Income Change in net Cumulative Net actuarial Redemption Other Balance as of © Zurich Financial Services Ltd of March at

  18. Slide 18: 2011 estimated economic and regulatory solvency

    2011 estimated economic and regulatory solvency Statutory solvency ratio SST solvency ratio3 (Group’s Solvency I1) +9pts -6pts 242% 223% 239% 232% • SST ratio expected to be materially unchanged since Jan 1, 2011 • The half-year 2011 ratio will be calculated and published with the 9 months 2011 resu

  19. Slide 19: Strong cash flow from local businesses to Group in 2010

    Strong cash flow from local businesses to Group in 2010 Dividend to shareholders Redeployment Central liquidity pool Run rate cash outflows1 -0.6 -1.0 4.4 0.1 2.5 1.2 0.6 Excess cash capital Capital consumption/ requirement © Zurich Financial Services Ltd NCB & OOB GI Farmers Global Life Note: in US

  20. Slide 20: HY 2011 Results Key Messages

    HY 2011 Results Key Messages Strong Q2 results driven by excellent underwriting performance Improved Q2 top-line growth in both mature and emerging markets Continuing strong cash flow generation from the businesses Strong capital base and solvency position materially unchanged © Zurich Financial Ser

  21. Slide 21: Appendix

    Appendix © Zurich Financial Services Ltd August 11, 2011 Half Year Results Reporting 2011 21

  22. Slide 22: Top line development by segment

    Top line development by segment in USD millions 2011 2010 Change Change for the six months to June 30 in LC1 General Insurance GWP and policy fees 18,876 17,940 5% 0% Global Life GWP, policy fees and insurance 13,267 13,111 1.2% -5% deposits Annual Premium Equivalent (APE)2 1,899 1,716 11% 4% Farmer

  23. Slide 23: Development of shareholders’ equity in HY 2011

    Development of shareholders’ equity in HY 2011 in USD millions 31,984 -1,916 32,000 1,965 -281 416 68 -462 174 31,153 31,000 -795 30,000 29,000 28,000 27,000 26,000 25,000 24,000 Balance as of Dividends1 Currency Net Income Change in Cumulative Net actuarial Redemption Other Balance © Zurich Financi

  24. 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 2011 2010 General Insurance 13.4% 17.6% Global Corporate 3.4% 24.9% North America Commercial 15.2% 21.6% Europe 30.1% 17.3% International Markets -26.7% 3.2% GI Global Functions including Group Reinsurance 13

  25. Slide 25: Zurich Internal RBC by segment and risk type for 2011

    Zurich Internal RBC by segment and risk type for 2011 Capital Allocation: Total RBC estimate: USD 36 billion1 USD 34 billion 12% 8% Other2 13% Market/ALM risk 10% General Operational risk 37% Farmers1 Insurance Business risk 1% 50% 4% P&R risk3 Re-ins credit risk Global Life Life insurance risk 28%

  26. Slide 26: Reconciling SST to the internal RBC model over time

    Reconciling SST to the internal RBC model over time Internal RBC model compared to SST over time The ratio between the SST solvency and the internal 300% economic solvency are fairly stable but not constant over 250% time 200% RBC and SST capital move in the same direction Capital Ratio 150% 180% es

  27. Slide 27: Conceptual bridge from SST to the internal RBC model

    Conceptual bridge from SST to the internal RBC model Economic Solvency compared to SST Scope Operational and business risk 200% 180% for General Insurance are not 180% reflected in SST 160% 140% ALM 120% 100% Treatment of scenarios is more 100% conservative in RBC than in SST 80% 60% Calibration 40%

  28. Slide 28: Reconciling SST to the internal RBC model as of Jan 1, 2011

    Reconciling SST to the internal RBC model as of Jan 1, 2011 Economic Solvency compared to SST Scope 250% Operational and business risk 223% for General Insurance are not 200% reflected in SST ALM 150% Treatment of scenarios is more 119% conservative in RBC than in SST 100% Calibration 50% SST calibr

  29. Slide 29: General Insurance – BOP and Combined ratio by business

    General Insurance – BOP and Combined ratio by business Business operating profit Combined ratio (%) CAT4 in USD millions 2011 2010 Change Global 13.6 107.0 for the six months to June 30 Corporate 91.1 CAT4 1.5 Global Corporate 60 462 -87% 99.3 NA Commercial 96.2 North America Commercial 426 558 -24%

  30. Slide 30: General Insurance - Gross written premiums and policy fees

    General Insurance - Gross written premiums and policy fees In USD millions 2011 2010 Change Change for the six months to June 30 in LC1 Global Corporate 4,714 4,245 11% 5% North America Commercial 4,852 4,995 -3% -3% Europe 7,480 7,092 5% -3% International Markets 2,212 1,858 19% 11% GI Global Funct

  31. Slide 31: General Insurance – written rate change 2008 through HY-2011

    General Insurance – written rate change 2008 through HY-2011 General Insurance – rate change 2008 through HY-2011 5% 4.2% 3.9% 3.6% 3.7% 2.3% 2.6% 2.7% 2.1% 2.0% 1.7% 1.2% 0% -0.7% 2008 2009 -2.4% 2010 -3.0% 2011 -4% Q1 Q2 Q3 Q4 © Zurich Financial Services Ltd August 11, 2011 Half Year Results Repor

  32. Slide 32: Development of Reserves for Losses and Loss Adjustment Expenses (LAE)

    Development of Reserves for Losses and Loss Adjustment Expenses (LAE) in USD millions 2011 2010 Net reserves for losses and LAE, as of January 1 55,976 55,903 Net losses and LAE paid -11,497 -11,813 Net losses and LAE incurred 10,869 12,083 - Current year 11,530 12,588 - Prior years1 -661 -505 Forei

  33. Slide 33: 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 2011 2010 2011 2010 2011 2010 Net Expense margin 3 -4 -5 -4 -22 -44 Net Risk margin 92 65 15 23 203 198 Net Investment margin 45 51 20 13 291 299

  34. Slide 34: 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 2011 2010 2011 2010 2011 2010 Net Expense margin -36 -18 5 4 -55 -67 Net Risk margin 32 24 9 2 351 312 Net Investment margin 34 -1 6 4 396 365 Other profit margins

  35. Slide 35: 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 2011 2010 2011 2010 2011 2010 Net Expense margin -23 -31 63 61 9 5 Net Risk margin 66 50 38 41 40 46 Net Investment margin 32 35 79 84 77 65 Other profit margin

  36. Slide 36: 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 2011 2010 2011 2010 2011 2010 Net Expense margin -67 -66 24 11 -27 -24 Net Risk margin 37 31 23 22 0 7 Net Investment margin 11 7 34 49 57 57 Other profit

  37. Slide 37: 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 2011 2010 in LC2 2011 2010 in LC2 North America 22 27 -18% 50 45 10% Latin America 33 25 19% 138 99 31% Europe 269 284 -11% 1,322 1,300 -4% United Kingdom 73 61 14% 536 445 14%

  38. Slide 38: Global Life – Embedded Value result

    Global Life – Embedded Value result for the six months to June 30 2011 2011 2010 2010 USD m Return USD m Return Opening Embedded Value 16,472 16,752 New business value2 511 405 Expected contribution1,2 401 370 Operating variance2,3 -252 38 Total operating earnings2 660 9.9% 800 9.5% Economic varianc

  39. Slide 39: Global Life - Assets under Management

    Global Life - Assets under Management1 AuM was flat compared to January 1, 2011 on a local currency basis Split of AuM Development of AuM in USD billions in USD billions 237 Balance as of 222 222 28 Jan 1, 2011 25 Inflows +15 108 101 Outflows -14 Market move- ments & other2 -1 101 96 Currency +14 tr

  40. Slide 40: Farmers Management Services – key performance indicators

    Farmers – Farmers Management Services – key performance indicators in USD millions 2011 2010 Change for the six months to June 30 Management fees and other related revenues 1,375 1,399 -1.7% Management and other related expenses -724 -718 -0.8% Gross management result 651 681 -4.4% Managed gross ear

  41. Slide 41: Farmers Re – key performance indicators

    Farmers – Farmers Re – key performance indicators in USD millions 2011 2010 Change for the six months to June 30 Gross written premiums1 1,481 2,491 -40.5% Net underwriting result -16 49 -133.0% Combined ratio 101.1% 98.5% 2.6pts CAT2 impact 7.9% 4.7% 3.2pts Business operating profit 55 151 -63.4% ©

  42. Slide 42: Farmers Exchanges – key performance indicators

    Farmers Exchanges1 – key performance indicators in USD millions 2011 2010 Change for the six months to June 30 Gross written premiums 9,168 9,207 -0.4% Net underwriting result2 -741 129 nm Expense ratio 34.3% 32.9% 1.4pts Loss ratio 73.5% 65.6% 7.9pts Combined ratio2 107.8% 98.6% 9.2pts Adjusted com

  43. Slide 43: Update on 21st Century

    Update on 21st Century1 GWP by distribution channel (Direct vs Agency) GWP in Q2-11 of USD 458m reflects: 1000 Agency Direct: Q2 New business continues 726 Direct GWP in USD m to grow compared to previous 152 595 600 500 536 482 488 494 458 quarters. TV ad awareness 118 101 57 574 63 42 9 437 contin

  44. Slide 44: Farmers Exchanges – financial highlights

    Farmers Exchanges – financial highlights 50.0% 6'000 in USD millions 2011 2010 48.0% for the six months to June 30 5'000 46.0% Gross written premiums 9,168 9,207 44.0% 4'000 Net underwriting result1 -741 129 42.0% 3'000 40.0% Net surplus growth2 -226 103 38.0% Ending surplus2 5,733 5,859 2'000 36.0%

  45. Slide 45: Reinsurance excess of loss CAT covers

    Exchanges’ 2011 CAT reinsurance cover is comprehensive and designed for 1:250y California1 Texas Hurricane1 Other Excl. FL HU1 Florida Hurricane1 in USD millions Comprehensive CAT cover designed to mitigating 250 year Contingent Surplus Notes (500m excess events to tolerable net 1,500m) position USD

  46. Slide 46: Farmers Exchanges – gross written premiums by line of business

    Farmers Exchanges – gross written premiums by line of business in USD millions 2011 2010 Change for the six months to June 30 Auto1 4,836 4,811 0.5%1 of which 21st Century Direct 953 919 3.7%1 Homeowners 2,198 2,239 -1.8% Commercial P&C 665 661 0.5% Small Business Solutions 312 294 6.3% Workers’ Com

  47. Slide 47: Farmers Exchanges – gross written premiums by line of business

    Farmers Exchanges – gross written premiums by line of business in USD millions Q2-11 Q2-10 Change for the three month to June 30 Auto1 2,370 2,328 1.8%1 of which 21st Century Direct 458 440 4.1%1 Homeowners 1,208 1,223 -1.2% Commercial P&C 342 334 2.3% Small Business Solutions 159 149 6.9% Workers’

  48. Slide 48: 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% 4.7% 4.6% 4.2% 4% 3.2%3.3% 3.1% 2.9% 2.2% 1.8% 2% 1.4% 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% -2% © Zurich Financial Services Ltd ‘06 ‘07 ‘08 ‘09 ‘

  49. Slide 49: Farmers Exchanges – Policies in Force Half Year 2011 (1/2)

    Farmers Exchanges – Policies in Force Half Year 2011 (1/2) 2010 HY-11 June 2011 in thousand policies Ending Change Ending # % Auto 11,678 226 1.9% 11,904 of which 21st Century Direct 2,308 64 2.8% 2,372 Homeowners 5,109 -3 -0.1% 5,106 Commercial P&C 359 8 2.2% 367 Small Business Solutions 209 -4 -1.

  50. Slide 50: Farmers Exchanges – Policies in Force Q2-11 (2/2)

    Farmers Exchanges – Policies in Force Q2-11 (2/2) March Q2-11 June in thousand policies 2011 Change 2011 Ending # % Ending Auto 11,776 128 1.1% 11,904 of which 21st Century Direct 2,321 51 2.2% 2,372 Homeowners 5,101 5 0.1% 5,106 Commercial P&C 360 7 1.9% 367 Small Business Solutions 206 -1 -0.5% 20

  51. Slide 51: Farmers Exchanges – combined ratio

    Farmers Exchanges – combined ratio for the six months to June 30 20111 20101 Change Auto2 103.9% 95.5% 8.4pts Homeowners 111.8% 103.8% 8.0pts Commercial P&C 119.5% 96.8% 22.7pts Small Business Solutions 116.4% 102.8% 13.6pts Workers' Compensation 110.2% 98.9% 11.3pts Specialty 115.5% 100.7% 14.8pts

  52. Slide 52: Farmers Exchanges – development of the combined ratio

    Farmers Exchanges – development of the combined ratio Quarterly combined ratio 120% Incl. Ike & Gustav Incl. 17 Catastrophe 115% Events 110% Incl. Incl. Rita & California wildfires Katrina 105% Incl. California wildfires 100% 95% 90% 85% © Zurich Financial Services Ltd Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2

  53. Slide 53: Competitor Snapshot - Overall

    Competitor Snapshot - Overall June 2011 Growth vs. GAAP Combined Ratio – Overall P&C1, 3 March 2011 Growth NPW % 8 USAA3 GEICO4 6 4 Progressive Travelers Hartford State Farm3 Liberty Mutual3 2 Nationwide3 Mercury 2 0 Farmers Allstate -2 American Family3 -4 88 92 96 100 104 108 112 Combined ratio (%

  54. Slide 54: Other Operating and Non-Core Businesses – BOP contribution

    Other Operating and Non-Core Businesses – Business operating profit contribution in USD millions 2011 2010 Change for the six months to June 30 Other Operating Businesses -397 -361 -10% Non-Core Businesses - Centre 12 3 nm - Banking activities -32 -318 90% - Other centrally managed businesses -30 61

  55. Slide 55: 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, 2011 Asset allocation (%) Risk diversification Risk exposure (%)2 and matching (%)1 100 Hedge Funds / Real Estate Private Equity 46 Hed

  56. Slide 56: Group Investments – debt securities of consistently high credit quality

    Group Investments – Zurich’s debt securities are of consistently high credit quality (97.8% investment grade) As of June 30, 2011 Group Investments Debt securities USD 205bn USD 148bn credit rating: AAA 51.7% credit rating: AA Other Debt 97.8% 13.4% asset securities investment classes grade 28% 72%

  57. Slide 57: Group Investments – Zurich’s debt securities are well balanced

    Group Investments – Zurich’s debt securities are well balanced Group Investments - USD 205bn (100%) As of June 30, 2011 Government and supranational bonds: USD 61bn (30%) Market/Cost1: 100% of which:  97% inv. grade  43%in General Insurance  68% AAA  48% in Global Life  14% AA  14% A  1% BBB

  58. Slide 58: Group Investments – Government & supranational bonds well diversified

    Group Investments – Government & supranational bonds are well diversified Group Investments - USD 205bn (100%) As of June 30, 2011 Government and supranational bonds: USD 61bn1 (30%) Market/Cost: 100% of which:  97% inv. grade  43% in General Insurance  68% AAA  48% in Global Life  14% AA  14%

  59. Slide 59: Group Investments – Eurozone Government & supranational bonds

    Group Investments – Eurozone Government & supranational bonds are well diversified Group Investments - USD 205bn (100%) As of June 30, 2011 Eurozone Government and supranational bonds: USD 28bn (14%) Market/Cost: 97% of which: Split by credit rating  30% in General Insurance  96% inv. grade  69%

  60. Slide 60: Group Investments – Corporate bonds are of high quality

    Group Investments – Zurich’s Corporate bonds are of high quality Group Investments - USD 205bn (100%) As of June 30, 2011 Corporate bonds: USD 63bn (30%) Market/Cost: 102% Split by industries Split by credit rating  42% Banks,  99% inv. grade including 14.6%1 covered bonds  23% AAA  8% Cities, A

  61. Slide 61: Group Investments – Banks Corporate bonds

    Group Investments – Banks Corporate bonds are of high quality and well diversified Group Investments - USD 205bn (100%) As of June 30, 2011 Banks Corporate bonds: USD 26bn (13%) Market/Cost: 100% Split by seniority Split by credit rating  35% Covered bonds  99% inv. grade  51% Senior bonds  38%

  62. Slide 62: Group Investments – Split of total MBS/ABS

    Group Investments – Split of total MBS/ABS of USD 25bn (12%) Group Investments - USD 205bn (100%) MBS/ABS: USD 25bn (12%) As of June 30, 2011 Market/Cost: 103%  97% inv. grade  83% AAA includes: US MBS: USD 15.3bn (7.4%) Market/Cost: 105%  97% inv. grade; 89% AAA Debt US ABS1: USD 4.1bn (2.0%) se

  63. Slide 63: Group Investments – Split of US MBS

    Group Investments – Split of US MBS of USD 15.3bn (7.4%) Group Investments - USD 205bn (100%) As of June 30, 2011 US-MBS: USD 15.3bn (7.4%) Market/Cost: 105%  97% inv. grade  89% AAA Debt of which: securities US “Agency” MBS: USD 9.8bn (4.8%) Market/Cost: 104% 72%  100% AAA  USD 3.0bn backed by

  64. Slide 64: Group Investments – capital losses in P&L

    Group Investments – capital losses in P&L 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 750 750 563 506 250 250 146 94

  65. Slide 65: Group Investments – unrealized gains / losses

    Group Investments – unrealized gains / losses Change in net unrealized gains / losses on investments incl. in shareholders’ equity1 in USD millions 1500 1000 791 500 233 72 0 -82 -9 -500 -281 -514 -416 -1000 -1500 -1,207 Equity investments Debt investments Other investments -2000 Q1-2011 Q2-2011 HY-

Zurich Insurance Group — H1 2011 Earnings Presentation on 6ix