Zurich Insurance Group Ltd · SIX:ZURN
Zurich Insurance — FY2011 Earnings Presentation
78 slides from Zurich Insurance's earnings presentation, Feb 16, 2012
Slide 1: Annual Results Reporting 2011
Annual Results Reporting 2011 Analysts and Media Presentation February 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 Financial Services Ltd or the Zurich Financial Services Group (t
Slide 3: Agenda
Agenda Introduction Martin Senn Annual Results 2011 Pierre Wauthier Q&A Closing remarks Martin Senn © Zurich Insurance Company Ltd February 16, 2012 Annual Results Reporting 2011 3
Slide 4: Introduction
Introduction Martin Senn Chief Executive Officer February 16, 2012
Slide 5: Financial highlights
Financial highlights in USD millions 2011 20101 Change for the years ended December 31 Business operating profit (BOP) 4,261 4,870 -12% Net income attributable to shareholders 3,766 3,428 10% General Insurance combined ratio 98.8% 97.9% -0.9 pts Global Life new business value2 980 862 14% Farmers Mg
Slide 6: Proposed dividend of CHF 17 per share for 2011
Proposed dividend of CHF 173 per share for 2011 resulting in a payout ratio of 75% Dividends / EPS in respect of the business year (in CHF)1 50 47.1 45 40 39.5 35 2 29.9 30 27.1 23.4 24.22 24.3 25 22.9 22.6 20.8 19.7 20 18.9 7.9 8.7 16.0 17.0 17.03 15 15.0 11.0 10 7.0 11.0 5 2.5 4.0 0 © Zurich Insur
Slide 7: Annual Result 2011 Key Messages
Annual Result 2011 Key Messages Strong cash flow generation sustaining attractive CHF 17 per share dividend Strong capital base and solvency position Selective growth in mature markets with expanding presence in high growth markets Continued underwriting discipline demonstrated in results Resilient
Slide 8: Annual Results 2011
Annual Results 2011 Pierre Wauthier Chief Financial Officer February 16, 2012
Slide 9: Business operating profit and net income by quarter
Business operating profit and net income by quarter Business operating profit in USD millions 1,500 1,333 1,287 1,254 1,248 1,117 1,035 1,004 1,000 854 500 0 Q1-2010 Q2-2010 Q3-2010 Q4-2010 Q1-2011 Q2-2011 Q3-2011 Q4-2011 Net income attributable to shareholders in USD millions 1,500 1,331 1,239 1,02
Slide 10: Business operating profit by segment
Business operating profit by segment in USD millions 2011 2010 Change for the years ended December 31 General Insurance 2,265 2,667 -15% Global Life 1,353 1,474 -8% Farmers (including Farmers Re) 1,486 1,686 -12% Other Operating Businesses -835 -801 -4% Total BOP Operating business segments 4,269 5,
Slide 11: General Insurance – key performance indicators
General Insurance – key performance indicators in USD millions 2011 2010 Change Change for the years ended December 31 in LC1 GWP and policy fees 34,572 33,066 5% 0% Rate change2 3.5% 2.2% 1.3pts Loss ratio 71.9% 71.1% -0.8pts Expense ratio 26.9% 26.9% 0.0pts Combined ratio 98.8% 97.9% -0.9pts Busin
Slide 12: General Insurance – Rate Change Monitor and GWP performance
General Insurance – Rate Change Monitor1 and GWP performance Rate Change Monitor1 2011 Discrete Q4 2011 Int’l Total Int’l Total GC NAC Europe Markets GI GC NAC Europe Markets GI Personal Lines n/a n/a 5% 3% 4% n/a n/a 4% 5% 4% Commercial Lines 3% 3% 2% 5% 3% 5% 4% 3% 2% 3% Gross Written Premiums, tr
Slide 13: General Insurance – comparison of loss ratio
General Insurance – comparison of loss ratio 75% 2011 2010 Loss ratio development Discrete quarters 71.9% 2pts 71.1% 0.6% Underlying loss ratio improvement 70% 76.9% 72.1% 69.8% 71.0% 71.4% 71.4% 70.7% 68.9% 66.3% 65% 64.3% -8.9% -8.5% 4.8% -1.0% 60% 4.2% -3.5% USD USD USD USD USD USD USD 1,221m -1,
Slide 14: General Insurance – major CAT & large claims: a very heavy year
General Insurance – major CAT & large claims: a very heavy year Major CAT and Large Claims in USD millions 1200 1065 1000 970 768 803 800 600 5 year quarterly average1 400 (USD 665m) 200 0 1 not weighted for volume Q1-11 Q2-11 Q3-11 Q4-11 Impact: Major CAT and Large Claims as a % of Net Earned Premi
Slide 15: General Insurance – expense ratio walk from 2010 to 2011
General Insurance – expense ratio walk from 2010 to 2011 26.9% 26.9% Change year-over-year Expense ratio development Other tech In percentage points Discrete quarters 14.3% 14.2% expenses1 0.1 0.0 27.0%26.9%26.3%27.2%26.6%26.3%26.4% 28.2% 12.6% Commissions 12.7% 0.0 -0.1 s xe e pe W s Ta i on ng es
Slide 16: Global Life – key performance indicators
Global Life – key performance indicators in USD millions 2011 2010 Change Change for the years ended December 31 in LC1 GWP and policy fees (incl. insurance 27,711 27,675 0% -5% deposits) Net inflows to Assets under Mgmt 2,769 5,520 -50% -51% Annual Premium Equivalent (APE) 3,992 3,699 8% 3% New bus
Slide 17: Global Life – new business by pillar
Global Life – new business by pillar in USD millions NBV NBV Change APE APE Change for the years ended December 31 2011 20101 in LC2 2011 2010 in LC2 Bank Distribution 201 233 -17% 700 932 -28% IFA/Brokers 185 202 -13% 933 972 -8% Agents 130 149 -15% 508 510 -5% International / Expats 83 71 11% 285
Slide 18: 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 years ended December 31 2011 2010 2011 2010 2011 2010 Net Expense margin -1,541 -1,599 1,443 1,473 -98 -126 Net Risk margin 762 617 762 617 Net Investment margin 709 701 709 701 Oth
Slide 19: Santander transaction update
Santander transaction update GWP by country1 (for 100% of the business) Purchase price (51%) 3.02 USD 1.67bn initial purchase GWP in USD bn 3 2.62 1.8 1.9 price adjusted to USD 1.4bn to 2 reflect: 1 Pre-closing dividends 0 FX movements 2009 2010 2011 Excluding approx. USD 250m Brazil Chile Mexico Ar
Slide 20: Farmers – key performance indicators
Farmers – key performance indicators in USD millions 2011 2010 Change for the years ended December 31 Farmers Management Services Managed gross earned premium margin2 7.3% 7.3% 0.0pts Business operating profit 1,370 1,365 0% Farmers Re1 Combined ratio 100.8% 97.6% -3.2pts Business operating profit 1
Slide 21: Investment performance of Group Investments
Investment performance of Group Investments in USD millions 2011 2010 Change for the years ended December 31 Net investment income 7,185 7,092 1% Net capital gains/(losses) on investments and 2,182 898 nm impairments1 of which attributable to shareholders 1,515 279 nm Net investment result 9,367 7,9
Slide 22: Development of shareholders' equity in Q4 2011
Development of shareholders’ equity in Q4 2011 in USD millions 33,000 212 -294 557 -781 32,000 31,874 31,636 68 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 September attribu
Slide 23: 2011 estimated economic and regulatory solvency
2011 estimated economic and regulatory solvency Statutory solvency ratio SST solvency ratio 225% at July 1, 20113 (Group’s Solvency I1) 256% -9pts -5pts 242% 232% SST solvency ratio for the year-end 2011 to be reported at Q1, 2012 after filing with FINMA Market movements and recent acquisition impac
Slide 24: Attractive CHF 17 dividend for 2011 without withholding tax
Attractive CHF 17 dividend for 2011 without deduction of withholding tax1 Book value per share (in CHF) Dividend yield3 1 8.0% 300 8% 7.0% 5 7% 250 229.4 5.9% 210.15 206.65202.25 203.2 6% 5.6% 194.5 200 5% 4.5% 5 5 154.3 153.85 158.3 150 4% 3.1% 3% 2.6% 100 1.8% 2% 1.3% 50 1% 0 0% 2003 2004 2005 200
Slide 25: Annual Result 2011 Key Messages
Annual Result 2011 Key Messages Strong cash flow generation sustaining attractive CHF 17 per share dividend Strong capital base and solvency position Selective growth in mature markets with expanding presence in high growth markets Continued underwriting discipline demonstrated in results Resilient
Slide 26: Q & A
Q&A © Zurich Insurance Company Ltd February 16, 2012 Annual Results Reporting 2011 26
Slide 27: Closing remarks
Closing remarks Martin Senn Chief Executive Officer February 16, 2012
Slide 28: Appendix
Appendix © Zurich Insurance Company Ltd February 16, 2012 Annual Results Reporting 2011 28
Slide 29: Top line development by segment
Top line development by segment in USD millions 2011 2010 Change Change for the years ended December 31 in LC1 General Insurance GWP and policy fees 34,572 33,066 5% 0% Global Life GWP and policy fees and insurance 27,710 27,675 0% -5% deposits Annual Premium Equivalent (APE)2 3,992 3,699 8% 3% Farm
Slide 30: Development of shareholders' equity in FY 2011
Development of shareholders’ equity in FY 2011 in USD millions 34,000 508 -717 3,766 -933 33,000 32,000 31,905 -1,916 -476 31,636 294 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
Slide 31: Business division BOP-ROE based on RBC-allocated IFRS equity
Business division BOP-ROE1 based on RBC-allocated IFRS equity for the years ended December 31 2011 2010 General Insurance 12.8% 17.0% Global Corporate 3.9% 20.1% North America Commercial 18.5% 20.4% Europe 18.7% 16.7% International Markets -14.1% 6.2% GI Global Functions including Group Reinsurance
Slide 32: 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%
Slide 33: Strong economic solvency according to the SST
Strong economic solvency1 according to the SST2 in USD billions (rounded) 50 230% 223% 225% 250% 40 45 43 200% 40 30 150% 20 100% 19 20 17 10 50% 0 0% July 1, 2010 Jan 1, 2011 July 1, 2011 © Zurich Insurance Company Ltd Target Capital Available Capital SST Ratio 1 Economic financial strength is base
Slide 34: Zurich SST Target Capital well diversified across risk types
Zurich SST Target Capital well diversified across risk types Total SST Target Capital as at HY 2011: USD 20bn SST and RBC key risks are largely similar ALM & Credit at 40-45% 4% P&R and Nat Cat Risk at 8% around 36% 1% Market/ALM risk 2% Other1 Some key differences: Business risk Operational risk 39
Slide 35: SST ratio is resilient to market sensitivities
SST ratio is resilient to market sensitivities… SST ratio impact1 in percent 100% HY 2011 225% Interest rate +100 bps 227% Interest rate -100 bps 212% Equities +25% 230% Equities -25% 219% Credit spreads2 +100 bps 191% © Zurich Insurance Company Ltd 1 The impact on changes to the required capital is
Slide 36: Euro-zone debt haircut scenarios
…and Euro-zone debt haircut scenarios SST ratio impact1 in percent Scenario 1: “Peripheral2 EU sovereign debt restructured 100% and subordinated debt written off” HY 2011 225% Write-down of all Peripheral2 EU sovereign debt to achieve debt/GDP ratios of 80%, plus; Scenario1 210% 100% write-down of a
Slide 37: 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% for General Insurance are not 180% 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%
Slide 38: 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 39: 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 13.6 105.6 for the years ended December 31 Corporate 95.8 CAT4 2.4 Global Corporate 169 741 -77% CAT4 95.9 NA 0.6 Commercial 97.1 North America Commercial
Slide 40: General Insurance – Rate Change Monitor for personal and commercial lines
General Insurance – Rate Change Monitor1 for personal and commercial lines 2011 Discrete Q4 2011 Int’l Total Int’l Total GC NAC Europe Markets GI GC NAC Europe Markets GI Personal Lines n/a n/a 5% 3% 4% n/a n/a 4% 5% 4% Commercial Lines 3% 3% 2% 5% 3% 5% 4% 3% 2% 3% Europe by country Europe by count
Slide 41: General Insurance – written rate change 2008 through 2011
General Insurance – written rate change 2008 through 2011 General Insurance – rate change 2008 through 2011 5% 4.2% 3.9% 3.9% 3.7% 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 Insurance Company Ltd February 16, 2012 Annual Results Rep
Slide 42: 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 years ended December 31 in LC1 Global Corporate 7,949 7,624 4% 0% North America Commercial 9,777 9,728 1% 0% Europe 12,932 12,427 4% -3% International Markets 4,425 3,854 15% 10% GI Global Func
Slide 43: Development of Reserves for Losses and 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 56,014 55,944 Net losses and LAE paid -22,909 -23,240 Net losses and LAE incurred 22,439 23,620 - Current year 23,742 24,999 - Prior years1 -1,302 -1,378 F
Slide 44: Non-life ultimate loss ratios by accident year
Non-life ultimate loss ratios by accident year Cumulative incurred 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 net loss ratios1 In the year 70.6% 67.1% 68.3% 73.3% 69.6% 72.7% 74.6% 72.3% 73.5% 74.1% 1 year later 72.0% 66.1% 64.2% 68.1% 66.2% 71.7% 74.1% 72.0% 73.2% 2 years later 72.3% 65.4% 6
Slide 45: Asbestos and environmental reserves
Asbestos and environmental reserves 2011 2010 Gross 3-year Gross 3-year reserves survival reserves survival USD m ratio USD m ratio Asbestos 3,283 25.11 3,408 26.31 General Insurance 2,874 2,967 of which: US 346 8.3 400 10.0 of which: UK 2,528 30.62 2,567 33.22 Non-Core Businesses 409 5.61 441 3.21
Slide 46: 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 years ended December 31 2011 2010 2011 2010 2011 2010 Net Expense margin 47 25 -19 -16 -49 -78 Net Risk margin 112 99 34 38 517 415 Net Investment margin 98 100 38 34 5
Slide 47: 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 years ended December 31 2011 2010 2011 2010 2011 2010 Net Expense margin -64 -44 -13 -13 -98 -126 Net Risk margin 59 42 41 24 762 617 Net Investment margin 49 27 8 6 709 701 Other profit
Slide 48: 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 years ended December 31 2011 2010 2011 2010 2011 2010 Net Expense margin -41 -59 124 88 -4 19 Net Risk margin 148 103 70 71 143 106 Net Investment margin 55 56 143 159 143 126 Other
Slide 49: 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 years ended December 31 2011 2010 2011 2010 2011 2010 Net Expense margin -122 -117 44 37 -50 -45 Net Risk margin 74 58 62 53 20 23 Net Investment margin 15 20 56 67 104 105 Oth
Slide 50: 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 years ended Dec 31 2011 2010 in LC2 2011 2010 in LC2 North America 60 73 -18% 111 98 14% Latin America 71 52 32% 313 202 50% Europe 547 576 -9% 2,883 2,796 -2% United Kingdom 154 128 16% 1,235 961 24
Slide 51: Global Life – Embedded Value result
Global Life – Embedded Value result for the years ended December 31 2011 2011 2010 2010 USD m Return USD m Return Opening Embedded Value 16,472 16,752 New business value2 980 862 Expected contribution1,2 740 622 Operating variance2,3 (357) 135 Total operating earnings2 1,363 8.5% 1,574 9.6% Economic
Slide 52: Discounted risk neutral cash flows of the Value In-Force
Discounted risk neutral cash flows of the Value In-Force 57% of VIF expected to emerge within 10 years 3.5 3.0 Total VIF: 9.5bn 3.0 2.4 2.5 2.0 1.8 1.5 1.3 1.0 1.0 0.5 32% 25% 19% 11% 13% 0.0 1 to 5 years 6 to 10 years 11 to 15 years 16 to 20 years more than 20 years © Zurich Insurance Company Ltd P
Slide 53: Global Life - Assets under Management
Global Life - Assets under Management1 AuM have increased compared to January 1, 2011 on a local currency basis Split of AuM Development of AuM in USD billions in USD billions 222 Balance as of 220 222 Jan 1, 2011 25 25 Inflows +30 102 101 Outflows -27 Market move- ments & other 2 -2 93 96 Currency
Slide 54: Farmers Management Services – key performance indicators
Farmers – Farmers Management Services – key performance indicators in USD millions 2011 2010 Change for the years ended December 31 Management fees and other related revenues 2,767 2,778 0% Management and other related expenses -1,434 -1,440 0% Gross management result 1,333 1,338 0% Managed gross ea
Slide 55: Farmers Re – key performance indicators
Farmers – Farmers Re1 – key performance indicators in USD millions 2011 2010 Change for the years ended December 31 Gross written premiums2 3,529 4,194 -16% Net underwriting result -23 134 nm Combined ratio 100.8% 97.6% -3.2pts CAT impact3 5.7% 3.6% -2.1pts Business operating profit 116 321 -64% © Z
Slide 56: Farmers Exchanges – key performance indicators
Farmers Exchanges1 – key performance indicators in USD millions 2011 2010 Change for the years ended December 31 Gross written premiums 18,297 18,131 0.9% Net underwriting result2 -1,178 289 nm Expense ratio 34.0% 33.5% -0.5pts Loss ratio 72.4% 65.1% -7.3pts Combined ratio2 106.4% 98.7% -7.7pts Adju
Slide 57: Farmers Exchanges – update on 21st Century
Farmers Exchanges – update on 21st Century1 GWP by distribution channel (Direct vs Agency) GWP in Q4-11 of USD 474m reflects: 1000 Agency Direct: Q4-11 new business Direct continued to be robust as new 726 GWP in USD m 152 595 600 policies were up 24.5% over Q4-10. 536 488 507 For 2011, new policies
Slide 58: Farmers Exchanges – financial highlights
Farmers Exchanges – financial highlights 50.0% 6'000 in USD millions 2011 2010 48.0% for the years ended December 31 5'000 46.0% Gross written premiums 18,297 18,131 44.0% 4'000 Net underwriting result1 -1,178 289 42.0% 40.0% Net surplus growth2 -303 204 3'000 38.0% Ending surplus2 5,656 5,960 2'000
Slide 59: Farmers Exchanges – gross written premiums by line of business (I)
Farmers Exchanges – gross written premiums by line of business (I) in USD millions 2011 2010 Change for the years ended December 31 Auto1 9,680 9,550 1.4%1 of which 21st Century Direct 1,934 1,836 5.3%1 Homeowners 4,488 4,511 -0.5% Business Insurance 1,950 1,890 3.2% Workers’ Compensation 314 288 9.
Slide 60: Farmers Exchanges – gross written premiums by line of business (II)
Farmers Exchanges – gross written premiums by line of business (II) in USD millions 2011 2010 Change for the three months to December 31 Auto 2,348 2,281 3.0% of which 21st Century Direct 474 438 8.4% Homeowners 1,074 1,059 1.4% Business Insurance 491 477 2.9% Workers’ Compensation 81 72 11.4% Speci
Slide 61: Farmers Exchanges – premium growth
Farmers Exchanges – premium growth GWP growth1 12% 10.1% 10% 9.1% 8% 6.5% 5.7% 6.1% 5.4% 5.7% 5.4% 6% 5.0% 5.1% 4.6% 4.7% 4.2% 4% 3.2% 3.3% 3.1% 2.9% 2.2% 1.8% 1.5% 2% 1.4% 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 9M FY -0.4% © Zurich Insurance Company Ltd -2% ‘
Slide 62: Farmers Exchanges – policies in force (I)
Farmers Exchanges – policies in force (I) in thousand policies 2011 Change 2010 for the years ended December 31 # % Auto 11,989 311 2.7% 11,678 of which 21st Century Direct 2,424 116 5.0% 2,308 Homeowners 5,114 5 0.1% 5,109 Business Insurance 575 7 1.3% 568 Workers’ Compensation 51 2 4.1% 49 Special
Slide 63: Farmers Exchanges – policies in force (II)
Farmers Exchanges – policies in force (II) in thousand policies Dec 2011 Change Sept 2011 for the three months to December 31 Ending # % Ending Auto 11,989 23 0.2% 11,966 of which 21st Century Direct 2,424 13 0.5% 2,411 Homeowners 5,114 8 0.2% 5,106 Business Insurance 575 0 0.1% 575 Workers’ Compens
Slide 64: Farmers Exchanges – combined ratio
Farmers Exchanges – combined ratio for the years ended December 31 20111 20101 Change Auto2 105.3% 97.3% -7.8pts Homeowners 105.6% 100.4% -5.5pts Business Insurance 114.9% 99.7% -15.2pts Workers' Compensation 114.2% 100.8% -13.4pts Specialty 108.2% 98.3% -9.5pts Total 106.4% 98.7% -7.7pts Adjusted c
Slide 65: Farmers Exchanges – development of the combined ratio
Farmers Exchanges – development of the combined ratio Quarterly combined ratio Incl. 17 Catastrophe 120% CAT1 impact Incl. Events Ike & Gustav 115% 110% Incl. Incl. California Incl. Irene wildfires Rita & Katrina 105% Incl. California wildfires 100% 95% 90% © Zurich Insurance Company Ltd 85% Q1 Q2 Q
Slide 66: Farmers Exchanges – Competitor Snapshot
Farmers Exchanges – Competitor Snapshot Growth vs. GAAP Combined Ratio – Overall P&C1, 3 Growth NPW % December 2011 10 September 2011 USAA3 GEICO4 6 Progressive 2 Travelers State Farm3 2 Farmers Hartford Liberty Mutual3 Mercury Allstate Nationwide3 -2 American Family3 -6 © Zurich Insurance Company L
Slide 67: 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 years ended December 31 Other Operating Businesses -835 -801 -4% Non-Core Businesses - Centre 60 39 55% - Banking activities -90 -307 71% - Other centrally managed businesses 18
Slide 68: Investment portfolio benefits 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 December 31, 2011 Asset allocation (%) Risk diversification Risk exposure (%)1,2 and matching (%)1 100 Hedge Funds / Liquidity Real Estate Priva
Slide 69: Debt securities are of high credit quality
Group Investments – Zurich’s debt securities are of high credit quality (97.5% investment grade) As of December 31, 2011 Group Investments Debt securities USD 194bn USD 143bn credit rating: AAA 38.0%1 credit rating: AA 25.0%1 Other Debt 97.5% asset securities investment classes grade 27% 73% credit
Slide 70: Zurich's debt securities are well balanced
Group Investments – Zurich’s debt securities are well balanced Group Investments - USD 194bn (100%) As of December 31, 2011 Government and government related bonds1: USD 66bn (34%) of which: Market/Cost: 103% 41%in General Insurance 98% inv. grade 50% in Global Life 53% AAA 27% AA 17% A
Slide 71: Government & government related bonds are well diversified
Group Investments – Government & government related bonds are well diversified Group Investments - USD 194bn (100%) As of December 31, 2011 Government and government related bonds: USD 66bn1 (34%) Market/Cost: 103% of which: 98% inv. grade 41% in General Insurance 53% AAA 50% in Global Life
Slide 72: Eurozone government & government related bonds are well diversified
Group Investments – Eurozone government & government related bonds are well diversified Group Investments - USD 194bn (100%) Eurozone Government and government As of December 31, 2011 related bonds: USD 29bn (15%) Market/Cost: 100% of which: Split by credit rating 27% in General Insurance 97% in
Slide 73: Zurich's Corporate bonds are of high quality
Group Investments – Zurich’s Corporate bonds are of high quality Group Investments - USD 194bn (100%) As of December 31, 2011 Corporate bonds: USD 56bn (29%) Market/Cost: 102% Split by industries Split by credit rating 46% Banks, 99% inv. grade including 19.0%1 covered bonds2 21% AAA 8% Util
Slide 74: Banks Corporate bonds are of high quality and well diversified
Group Investments – Banks Corporate bonds are of high quality and well diversified Group Investments - USD 194bn (100%) As of December 31, 2011 Banks Corporate bonds: USD 25bn (13%) Market/Cost: 101% Split by seniority Split by credit rating 42% Covered bonds 99% inv. grade 47% Senior bonds
Slide 75: Split of total MBS/ABS of USD 21bn
Group Investments – Split of total MBS/ABS of USD 21bn (11%) Group Investments - USD 194bn (100%) MBS/ABS1: USD 21bn (11%) As of December 31, 2011 Market/Cost: 103% 98% inv. grade 37% AAA includes: US MBS: USD 14.6bn (7.5%) Market/Cost: 105% 97% inv. grade; 22% AAA Debt securities US ABS2: USD
Slide 76: Split of US MBS of USD 14.6bn
Group Investments – Split of US MBS of USD 14.6bn (7.5%) Group Investments - USD 194bn (100%) As of December 31, 2011 US-MBS: USD 14.6bn (7.5%) Market/Cost: 105% 97% inv. grade 22% AAA Debt of which: securities US “Agency” MBS: USD 10.2bn (5.3%) Market/Cost: 106% 73% 98% AA+ USD 2.9bn backed
Slide 77: 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 1250 1,241 100 1000 923948 -5 -
Slide 78: 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 2,198 2000 1,679 1500 1000 791 500 233 148 219 -82 72 80 63 0 -104 -500 -514 -589 Equity investments -1000 -807 Debt investments -1,207 Other investment
Zurich Insurance Group — FY2011 Earnings Presentation on 6ix