Slide 1: Annual EVM Results 2015
Annual EVM Results 2015 Investor and analyst presentation Zurich, 16 March 2016 We make the world more resilient.
Slide 2: Swiss Re uses EVM to systematically allocate capital within the Group strategic framework
Swiss Re uses EVM to systematically allocate capital within the Group strategic framework Strategic Framework Steering Framework I systematically allocate capital to risk pools / revenue streams Learning Strategy II III broaden optimise and diversify client resources and platforms base to increase t
Slide 3: Effective capital allocation to achieve our financial targets
Effective capital allocation to achieve our financial targets … to achieve our Group Capital allocation… … is put to work through EVM … financial targets A Group-wide process for Key features business steering and • Market consistent valuation of underwriting assets and liabilities • Shows direct co
Slide 4: 2015 highlights
2015 highlights • Swiss Re reports an EVM profit of USD 480m, supported by strong new business underwriting and favourable inforce development, largely offset by risk adjusted losses on investment activities and the economic loss at inception of the Guardian transaction • P&C Reinsurance delivered a
Slide 5: EVM key figures
EVM key figures Corporate Admin Group Total Total USD millions, unless otherwise stated P&C Re L&H Re Solutions Re® items 2015 2014 Premiums and fees 18 693 18 320 3 549 40 562 35 869 EVM income 2 724 1 568 197 -329 -488 3 672 5 189 EVM profit (loss) 1 697 283 26 -972 -554 480 1 336 of which n
Slide 6: P&C Reinsurance
P&C Reinsurance Strong results through diversified earnings stream and large & tailored transactions Premiums and fees EVM profit EVM income new business USD m USD m USD m 18 693 3 568 16 061 16 908 4 801 14 562 2 588 3 261 1 697 2 724 2 367 1 219 2012 2013 2014 2015 2012 2013 2014 2015 2012 2013 20
Slide 7: L&H Reinsurance
L&H Reinsurance Strong new business performance from large & tailored transactions Premiums and fees EVM profit EVM income new business USD m USD m USD m 1 017 2 034 18 320 1 568 17 137 14 301 14 692 168 283 880 - 295 - 619 2012 2013 2014 2015 2012 2013 2014 2015 2012 2013 2014 2015 • At constant fx
Slide 8: Corporate Solutions
Corporate Solutions Reduced economic result in a challenging market Premiums and fees EVM profit EVM income new business USD m USD m USD m 3 764 3 549 3 462 610 2 465 581 471 357 292 26 197 81 2012 2013 2014 2015 2012 2013 2014 2015 2012 2013 2014 2015 • Premiums decreased by 5.7% in • EVM profit de
Slide 9: Admin Re®
Admin Re® Performance reflects loss at inception of the Guardian acquisition Premiums and fees EVM profit EVM income new business USD m USD m USD m 1 082 233 112 43 621 505 379 304 - 972 - 329 0 0 2012 2013 2014 2015 2012 2013 2014 2015 2012 2013 2014 2015 • Premiums and fees associated • EVM loss w
Slide 10: Investment result
Investment result EVM loss in 2015 driven by credit spread widening, partially offset by favourable performance on alternative investments Outperformance EVM profit EVM income USD m USD m USD m 1 614 4 022 1 262 3 605 2 980 2 679 - 823 - 982 739 193 433 22 2012 2013 2014 2015 2012 2013 2014 2015 201
Slide 11: Economic net worth (ENW)
Economic net worth (ENW) EVM income largely offset by capital repatriation measures USD m 46 000 42 000 3 672 -3 055 38 000 -1 624 34 000 30 000 38 365 37 358 26 000 22 000 ENW EVM income Dividends and share Other2 ENW 31 Dec 2014 buybacks1 31 Dec 2015 1 Share buy back of USD 447m up to 31 December
Slide 12: Swiss Re's capital structure
Swiss Re's capital structure Target capital structure successfully implemented, reducing cost of capital and optimising financial flexibility USD bn Core capital 1 Total hybrid incl. contingent capital 4 Senior debt 2 LOC 5 Senior leverage plus LOC ratio 3 Subordinated leverage ratio 6 100% 90% 13.6
Slide 13: Group financial targets
Group financial targets Economic net worth growth of 9.6% for 2011 – 2015 ENW per share growth plus dividends 10% avg. annual growth rate over 5 years • Compound annual growth rate (CAGR) of in USD 141.7 135.6 144.5 ENW per share 2011- 123.1 131.3 2015 amounted to 9.6% 105.2 119.4 89.7 87.8 108.5 –
Slide 14: Looking at 2016 and beyond, our new Group targets are focusing on profitability and economic growth
Looking at 2016 and beyond, our new Group targets are focusing on profitability and economic growth Profitability: Growth: ROE ≥ risk free + 700bps ENW per share 10% p.a. ROE ENW per share growth Rf+700bps 10% per annum 2016 Over the cycle 20152 2016 Over the cycle Year-end ENW + dividends from curr
Slide 15: EVM capital cost and hurdle rates increased in light of new target cycle started in 2016
EVM capital cost and hurdle rates increased in light of new target cycle started in 2016 • Swiss Re performed a holistic review of the EVM framework ahead of the new performance cycle starting 2016 • EVM capital costs have been aligned with the cost of equity estimated on the basis of external bench
Slide 16: Appendix
Appendix Annual EVM Results 2015 16
Slide 17: EVM segmental income statement 2015
EVM segmental income statement 2015 Re- Corporate Admin Group Total Total USD millions insurance P&C Re L&H Re Solutions Re® items 2015 2014 Underwriting result New business result Premiums and fees 37 013 18 693 18 320 3 549 40 562 35 869 Claims and benefits -24 621 -11 202 -13 419 -1 980 -26 601 -
Slide 18: EVM balance sheet 2015
EVM balance sheet 2015 Re- Corporate Admin Group Consoli- Total Total USD millions insurance P&C Re L&H Re Solutions Re® items dation 2015 2014 Assets Investments 85 346 51 596 33 750 8 178 52 304 7 848 -6 820 146 856 154 939 Cash and cash equivalents 4 714 4 281 433 675 1 439 1 376 8 204 7 466 In-f
Slide 19: Key differences between EVM and US GAAP
Key differences between EVM and US GAAP EVM US GAAP Profit recognition on • At inception • Over lifetime of the contract new contracts Actuarial assumptions • Best estimate • Non-life business: best estimate • Life & Health business: generally locked-in assumptions Liability cash flows • Discounted
Slide 20: Reconciliation of EVM economic net worth to US GAAP shareholders' equity
Reconciliation of EVM economic net worth to US GAAP shareholders' equity Re- Corporate Admin Group Total Total USD billions insurance P&C Re L&H Re Solutions Re® items 2015 2014 US GAAP shareholders' equity 19.9 13.3 6.6 2.3 4.9 6.4 33.5 35.9 Discounting 4.1 4.4 -0.3 0.1 -1.9 0.0 2.3 -0.4 Investment
Slide 21: EVM and Swiss Solvency Test (SST) are largely aligned
EVM and Swiss Solvency Test (SST) are largely aligned Same key principles: Mark-to-market valuation of Best estimate liabilities Risk-free discounting investments Differences between EVM and SST partially stem from EVM measuring value creation to shareholders vs SST measuring capital available to pr
Slide 22: Key steps from ENW under EVM to SST risk-bearing capital
Key steps from ENW under EVM to SST risk-bearing capital ENW Reversal of EVM capital costs SST net asset value is the equivalent of the EVM economic net and tax balances worth under SST differences Valuation SST capital costs of subsidiaries • Valuation adjustments are required on ENW to reflect (in
Slide 23: Corporate calendar & contacts
Corporate calendar & contacts Corporate calendar 2016 22 April 152nd Annual General Meeting Zurich 29 April First Quarter 2016 Results Conference call 29 July Second Quarter 2016 Results Conference call 3 November Third Quarter 2016 Results Conference call 2 December Investors’ Day Zurich Investor R
Slide 24: Cautionary note on non-GAAP financial measures
Cautionary note on non-GAAP financial measures Economic Value Management ("EVM") is Swiss Re's proprietary integrated economic valuation and accounting framework for business planning, pricing, reserving, and steering. The EVM information in this presentation contains non-GAAP financial measures. Th
Slide 25: 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