Analysts'meeting 20070301 FINAL SPEAKERNOTESSlide 5 ab Analysts' meeting Zurich, 1 March 2007 Key...

abAnalysts’ meeting1 March 2007

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Analysts' meetingZurich, 1 March 2007

Today’s agenda

Introduction Susan Holliday, Head IR

Group results George Quinn, CFO

Strategy update and outlook Jacques Aigrain, CEO

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Today’s agenda




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Executive summaryExcellent 2006 results

Net income CHF 4.6 billion, up 98%, EPS of CHF 13.49

Strong performance across all businesses

Performance

Strong combined ratio of 90.4% in Property & Casualty

14% profit growth to CHF 1.5 billion in Life & Health

21% profit growth to CHF 0.5 billion in Financial Services

Continued good investment performance, RoI 5.3%

Quality

Shareholders’ equity up 27% to CHF 30.9 billion

RoE 16.3%, up from 10.3% in 2005

Shareholders’ equity, returns

Dividend proposal CHF 3.40 per share, up 36%

Up to CHF 6 billion share buyback plan

Capital management

All 2005 and 2006 figures are based on US GAAP unless stated otherwise

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Key figuresStrong performance across the Group

-1.0pts.5.3%6.3%Return on investments2

18.8pts.26.9%8.1%Financial Services return on total revenues

27%30.924.4Shareholders’ equity

-23.7pts.90.4%114.1%Non-life combined ratio, traditional1

81%13.497.44Earnings per share (EPS)

6.0pts.16.3%10.3%Return on equity

10.0%

4.6

29.5

2006

10%26.9Premiums earned

0.4pts.9.6%Life & Health return on operating revenues

98%2.3Net income

Change 2005CHF bn, except for EPS and relative numbers

1 Combined ratio includes unwind of discount – excluding this effect, combined ratio is 89.6%2 At average FX rates

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25 000 27 000 29 000

29 515

-317

+21

+1 500

-826

+2 246

26 891

0First year impacts of Successor (P&C) and ALPS (L&H) transactions

Securitisations

n.a.Premiums earned 2005

3 548

0

1 021

55

2 472

Insurance Solutions

share

Contribution from IS as well as new life business in UK, US and Asia

Decrease in volume reflects lower demand

Reflects contribution from IS

Premiums earned 2006

Admin ReSM

Life and health, traditional

Non-life, non-traditional

Non-life, traditional

CHF m

Change in net earned premiums*

Group premiumsInsurance Solutions adds significant growth to premium income

* Fee income from policyholders is no longer included in net earned premiums following adoption of US GAAP

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4% 5% 6%

Investments Return on investments of 5.3%

+5.3%

-0.3%

-0.5%

+0.5%

+5.6%

6 949

-373

-600

629

7 293Average running yield increased from 4.6% in 2005 to 4.8% in 2006

Gross investment income

Higher fixed income yields offset by lower realised gains

In line with the growth in assets under management

Mainly interest credited to third parties including impact from securitisation transactions

Gains mainly from equities partially offset by cost of derivatives used to hedge equity and corporate bond portfolios

Investment result

Investment expenses

Interest paid on cedant deposits

Net realised investment gains

CHF m

Change in investment result*

* At average FX rates; excluding assets held for linked liabilities

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0

2 0

4 0

6 0

8 0

1 0 0

1 2 0

1 4 0

1 6 0

2 0 05 2 0 06

0

1

2

3

4

5

6

2 0 0 5 2 00 6

125

163

Change

+30%0

1

2

3

4

5

6

7

2 00 5 2 0 0 6

7.5 6.9

Change

-7%

6.3%5.3%

Change

-1.0pts.

CHF bn, except for relative figures 2005 2006

Return on investments*Total investment result*Invested assets

InvestmentsReported results include sizeable FX remeasurement impacts in 2005

Sizeable remeasurement FX impacts in 2005 not repeated in 2006

Underlying investment result improved

RoI lower due to FX remeasurement gain in 2005

Growth due to Insurance Solutions acquisition in June 2006 (CHF 30bn) and GE Life UK in December 2006 (CHF 12bn)

* At average FX rates; excluding assets held for linked liabilities

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0

2

4

6

8

1 0

1 2

1 4

1 6

2 0 05 2 0 06

16 346 17 441

Change

+7%0

0 .5

1

1 .5

2

2 .5

3

3 .5

4

4 .5

5

2 0 0 5 2 0 0 6

830

5 016

0. 00%

111. 41%

2005 2006

114.1%90.4%

CHF m, except for relative figures 2005 2006

Combined ratio, traditionalOperating incomePremiums earned

Property & Casualty Strong operating performance including Insurance Solutions and lower nat cats

Operating income increased due to strong performance across all lines and lower nat cat claims

Investment result up 14% to CHF 3.6bn, reflecting overall portfolio growth

Strong contribution of Insurance Solutions (CHF 628m or 13%)

Continued good experience and strong price increases in property; significantly improved experience in liability

Combined ratio for IS stand-alone: 98.2%

Unwind of discount on Group combined ratio: 0.8pts.

Lower than expected nat cat claims contributed 2.8pts. (CHF 496m)

Disciplined underwriting and focus on economic profit growth continued

Insurance Solutions contributed CHF 2.5bn or 14%

Change

+504%Change

-23.7pts.

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Property & Casualty traditional business Strong performance across the business

CHF m, except for combined ratios

4 9252

945

113

352

1 144

2 371

Operating income

Strong underlying performance89.6%114.1%Total

Improved performance in engineering and marine; continuing good results in aviation/space

83.2%104.2%Specialty1

Strengthening of reserves for US workers comp126.6%95.3%Accident

Including unwind of discount and capital costs90.4%114.1%Total

Continued improvement despite higher than expected claims in Europe, particularly in France

102.8%104.3%Motor

P&C traditional combined ratios

105.9%

70.1%

2006

Positive contribution from Insurance Solutions and lower incidence of natural catastrophes and man-made claims

111.2%Property

Significant improvement in experience, especially in the US133.2%Liability

Main drivers of change 2005

1 Specialty includes marine, engineering, aviation, multilines and other2 Including non-traditional business, operating income is CHF 5 016m

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Life & Health Continuing positive underlying performance

0

2

4

6

8

1 0

1 2

1 4

2 0 05 2 0 06

13.915.2

0

0 .2

0 .4

0 .6

0 .8

1

1 .2

1 .4

2 005 2 006

1.31.5

0.0 0%

1 .0 0%

2 .0 0%

3 .0 0%

4 .0 0%

5 .0 0%

6 .0 0%

7 .0 0%

8 .0 0%

9 .0 0%

2 00 5 2 0 06

9.6%10.0%

CHF bn, except for relative figures 2005 2006

Return on operating revenuesOperating resultOperating revenues

Solid performance in all lines of business

Strong 12.8% in Admin ReSM, reflecting good claims experience

9.2% in traditional portfolio, driven by excellent claims experience in health portfolio

New life business written in the US, the UK and Asia

Insurance Solutions contributed CHF 1.1bn or 7%

Change

+9%Change

+14%Change

+0.4pts.

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Financial ServicesOperating income up 21%

0

50

100

150

200

250

300

350

400

450

2005 2006

379460

Change

+21%0. 00%

5. 00%

10. 00%

15. 00%

20. 00%

25. 00%

2005 2006

8.1%

26.9%

Change

+18.8pts.0. 00%

10. 00%

20. 00%

30. 00%

40. 00%

50. 00%

60. 00%

70. 00%

80. 00%

2005 2006

81.2%89.9%

Change

+8.7pts.

CHF m, except for relative figures 2005 2006

Combined ratio, traditionalReturn on total revenuesOperating income

Improved margins in trading business

Continued solid claims experience and stringent underwriting in Credit Solutions

2005 included a large favourable claims settlement agreement

Strong underwriting performance in credit reinsurance

Increased revenues in traded credit and insurance linked securities (ILS)

Growth in third party asset management of 18% to CHF 85.4bn (mainly Conning)

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Shareholders’ equityUp 27% reflecting excellent earnings and IS acquisition

CHF m

Change in shareholders’ equity

24 393

-1 176

-723

-776

4 284322

4 560

30 884

17 500

22 500

27 500

32 500

End 2005 Net income Dividends Net change in unrealised

gains/losses on

securities

Foreign currency

translation adjustments

Additional paid-in capital

Pensions/other

End 2006

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Financial year 2006Excellent overall results

Net income up 98%, EPS of CHF 13.49

RoE 16.3%, up from 10.3% in 2005

Property & Casualty traditional combined ratio 90.4%, Credit Solutions 89.9%

Life & Health return on operating revenues 10.0%, up from 9.6%

Financial Services return on total revenues 26.9%, up from 8.1%

Continued strong investment performance, RoI of 5.3%

Shareholders’ equity increased 27% to CHF 30.9 billion

Proposed dividend of CHF 3.40 per share, 3 year share buyback/cancellation programme up to CHF 6 billion

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Today’s agenda




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Our strategic direction

Generate economic profit growth

Reduce earnings volatility

Enlarge market scope

Advance organisational excellence

Higher sustainable shareholder

returns

Best-in-classcustomer service

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Total traditional portfolio

January 2007 renewalsHighly successful outcome for Swiss Re

100%76%

114%

-20%-4%

14%

4% 16%

4%

0%

20%

40%

60%

80%

100%

120%

Total renewable

01.01.2007

Pending Cancelledor

replaced

Renewed Increase on

renewal

New business/replace-

ment

InsuranceSolutions

Pending Estimated outcome

CHF 9.0bn

CHF 10.3bn

This represents 6%increase on the renewedblock, comprising:Rates 1%Change in share 3%Exposure growth 2%


All renewal figures are estimated and calculated at constant foreign exchange rates

Swiss Re’s renewed portfolio increased 14% (incl. Insurance Solutions) with rates up 1% overall growth in economic profit of 21%

75% of Insurance Solutions non-life book retained to date (70% in January 2007 renewals, 91% in July 2006 renewals)

Continuing attractive market conditions with industry focused on return on capital employed

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288 387 379 435

9.7%11.0% 10.2%

12.8%

0

250

500

2003 2004 2005 20060.0%

4.0%

8.0%

12.0%

Admin ReSM

GE Life UK – largest transaction to date

GBP 471m acquisition of GE‘s direct UK life operations completed December 2006

– largest Admin ReSM transaction to date– 400 000 policies with total assets of GBP 8bn– annual recurring premium volume of approx. GBP 100m; in addition single

premium new business volume of GBP 750m– provides further scale and infrastructure for Admin ReSM in the UK

Strong pipeline for further Admin ReSM opportunities particularly in the US and UK


CHF m, except for relative figures Operating result Return on operating revenues

Invested assets

Capital invested1 040591 415524

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Hedging expanded from capital to earnings protection

Claims exceeding these figures are considered as “extreme” claims

USD m

50 yrs

50 yrs

25 yrs

25 yrs

Return period

Earnings volatility events

15 000

22 500

13 000

55 000

Market loss

550

1 100

1 400

1 900

Est. Swiss Re gross claims

- 100

- 350

- 775

- 950

Est. claims hedge effect

450

750

625

950

Est. net claims

Earthquake JAPAN

Earthquake CALIFORNIA

Windstorm EUROPE

Hurricane NORTH ATLANTIC

Winter storm “Kyrill”

Swiss Re expects winter storm “Kyrill” to produce estimated net claims of EUR 140m (estimated gross claims EUR 220m)


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Equity and credit exposure hedgingIncreased portfolio protection against stress scenarios


The net stress test loss is based on a 30% fall in traded equity markets with a simultaneous increase in volatility for Swiss Re’s tradeable equities

The net stress loss shows the impact of the widening of credit spreads based on the experience over the past 15 years

0

3

6

9

12

15

31.12.05 31.03.06 30.06.06 30.09.06 31.12.06

Market values Net, stress test loss

0

5

10

15

20

25

30

35

31.12.05 31.03.06 30.06.06 30.09.06 31.12.06

Market values Net, stress test loss

CHF bn

Traded equities

CHF bn

Credit product

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Attractive opportunities for growth Commercial insurance


Market

2006

USD

72bn*

2006

USD

0.8bn

Prospects

Significant growth in premiums over the cycle should be possible

Swiss Re’s current target growth segments: Property, excess & surplus lines and professional liability

Main territorial business focus: USA and Canada

Swiss Re is a leader in the professional groups ‘agents’ and ‘lawyers’ and actively pursuing additional professional groups

Considerable cross-selling opportunities such as large corporate clients

US market volume

Premium volume

2006

95%

Combined ratio

Swiss Re

2006

1.1%

Swiss Re market share

* Represents segments where Swiss Re pursues business opportunities; total US Commercial Insurance market approx. USD 260bn, Canada approx, USD 6bn

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Attractive opportunities for growthVariable annuity reinsurance


US premium volume (in USD bn)

150

300

2006 2011E

Strong growth in the market driven by demographic changes

ProspectsClient markets, Products and Financial Services divisions together structure individual solutions to meet client needs

Significant demand driven by demographic factors and from clients seeking to address capital efficiency, rating agency issues and internal risk management

Treaties written and requests for coverage: in Japan and the US, with potential to develop in Europe and Asia

+

Swiss Re’s unique position

Expertise in risk transfer and

capital markets

Leadership in Life & Health reinsurance

Unique integrated product capability

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Expansion in engineering, weather, agricultural and marineCombination of IS market position and Swiss Re capital markets expertise provides strong growth opportunity

Nat cat protection for governments and NGOsSwiss Re structured and placed a transaction to allow access to the capital markets and a new source of capacity for the Mexico Natural Disaster Fund

Health protection in emerging markets26% stake in TTK Healthcare Services in India acquired in December 2006

Further growth opportunitiesEnlarge market scope

$160mm Principal At-RiskVariable Rate Notes

Sole Manager2006

CAT-Mex Ltd.United Mexican States

Credit in emerging marketsHigh demand for trade finance, corporate credit solutions and credit and surety business

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Insurance Solutions acquisitionSuccess story with full positive impact still to come


109 of 136 former IS key people (first/second management level) joined Swiss Re, including two at Executive Board level

Complementary strengths and diversification of client base and portfolio (critical illness, health, commercial insurance, engineering, etc.)

Fit

In 6 1/2 months, IS contributed CHF 3.5 billion to premiums earned in 2006

75% of non-life and 98% of life and health book retained to date

Growth

Stand-alone combined ratio 98.2% for period 9 June to 31 Dec 2006

Total cost of investment USD 8.8 billion, limited goodwill of USD 1.3 billion, strong profit contribution already in 2006 (CHF 764 million operating income contribution)

IS acquisition accretive to EPS and RoE as from 2007, the first full year after closing

Value creation




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Higher cost synergies and lower restructuring costs than planned

Estimated cost synergies of at least CHF 460m (previously CHF 390m) pre-tax p.a. anticipated to be fully realised by end 2008

Total one-time restructuring cost below original estimate of CHF 325mCHF 210m in 2006, less than CHF 50m expected in 2007

Global IT cost savings of CHF 42m: consolidation of data centres, infrastructure harmonisation, reduction of contractors, services migration

Offices consolidated in North America, Europe and Asia:

CHF m, pre-tax

Estimated cost synergies and restructuring costs

338>460

1310

250

500

2006 2007 2008

Cost synergies

Restructuring costs

<50210

0

250

500

2006 2007 2008


75 93 74

58

12 Jun 06 1 Jan 07 1 Jan 08

Insurance Solutions officesSwiss Re offices

133

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Our strategic direction

Active capital

management





Higher sustainable shareholder

returns

Best-in-classcustomer service

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Dividend and capital management

Swiss Re is focused on delivering a sustainable dividend and active capital management while maintaining superior capital adequacy and credit ratings

Planned capital management actions reflect:

– Very strong operating performance and balance sheet in 2006

– Continued commitment to underwriting discipline

– Initial successful steps in streamlining Swiss Re’s legal entity structure including:

– GE Re merged into Swiss Re America

– Part VII transfer in UK to combine IS portfolio with SR

– Swiss Re Italia merged into Italian Branch of SRZ

– Additional legal entity simplification planned during 2007 and 2008

Capital management

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Proposed capital management actions and dividend policy

Capital management

Proposed dividend of CHF 3.40 per share

Dividend payment growth to reflect progress on sustainable earnings

Dividend

Multi-year buyback/cancellation plan of up to CHF 6 billion within a three year period to improve capital efficiency

Swiss Re waives the GE lock-up from 1 March through 9 March 2007

Subject to market conditions Swiss Re agrees to repurchase 50% of GE’s stake in conjunction with an accelerated book build for the remainder of the stake

Buyback

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Outlook

Fundamentals for 2007 remain strong

Swiss Re will profit from growth provided by first year full inclusion of Insurance Solutions and GE Life UK

Swiss Re will seize opportunities in Admin ReSM to put capital to work at attractive rates of return

Swiss Re will continue to actively address client needs by developing new products in areas such as variable annuities, health, longevity, and engineering

Developments in European regulatory framework, including EU Reinsurance Directive and Solvency II, will create new opportunities for strongly capitalised reinsurers like Swiss Re

Swiss Re remains committed to delivering economic profit growth by maintaining strict underwriting discipline and by actively hedging its financial markets and cat exposures

Over the cycle targets

EPS growth

10%

RoE

13%

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Appendix

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Group income statement

n.a.n.a.

124%

-4%32%

1%-8%

-10%

5%-2%

87%-45%12%-1%8%

Change constant

FX

98%4 5602 304Net income

14%6 9906 137Net investment income- 44%1 9483 474Net realised investment gains

89%654346Trading revenues

0%879881Fee income

- 1%280283Other revenues6%40 26638 012Total revenues

Expenses-9%-21 393-23 426Claims and claim adjustment expenses; L&H benefits- 6%-2 827-3 019Interest credited to policyholders

3%-6 079-5 927Acquisition costs33%-4 111-3 081Other operating costs and expenses- 3%-34 410-35 453Total expenses

-1 296

5 856

29 515

2006

Revenues

408%-255Income tax expense

129%2 559Income before tax expense

10%26 891Premiums earned

Change 2005CHF m

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2006 income statementBusiness segment results

5 016

-16 138-1 373-3 459

-11 306

21 15474

4752

2 883

17 441

Property & Casualty

4 560Net income

6 99082793 946Net investment income1 948-352271 521Net realised investment gains/losses

65477573Trading revenues

879879Fee income

28022184Other revenues40 266-1711 96317 320Total revenues

Expenses-21 393-493-9 594Claims and claim adjustment expenses & L&H benefits

-2 827-2 827Interest credited to policyholders-6 079-364-2 256Acquisition costs-4 111-1 131-646-961Other operating costs and expenses

-34 410-1 131-1 503-15 638Total expenses

1 682

10 974

Life & Health

Group income statement by business segments

-1 302

Other

Revenues

-1 296Income tax expense

5 856460Income/loss before tax expense

29 5151 100Premiums earned

TotalFinancial ServicesCHF m

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60%520326Financing expenses550%11718Restructuring expense

131%8336Other expenses36%1 131834Other operating costs and expenses

28%8768Indirect and other taxes

Corporate Centre & “other” costs

3242006

-16%386Group function expensesChange 2005CHF m

Other operating costs/expenses

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Property & Casualty income statementOperating income up 504%

n.a.n.a.n.a.n.a.

485%

-15%48%

0%-22%

7%61%

-85%-37%43%

6%

Change constant

FX

89.6%90.4%26.3%64.1%

5 016

-16 138-1 373-3 459

-11 306

21 15474

4752

2 88317 441

2006

-24.5pts.114.1%Combined ratio excl. unwind of discount-23.7pts.114.1%Combined ratio in %

1.5pts.24.8%Expense ratio in %-25.2pts.89.3%Claims ratio in %

504%

-14%49%

1%-22%

8%61%

-85%-37%45%

7%

Change

19 595Total revenues46Fees, commissions and other revenues

Key figures (traditional business only)

-924Other operating costs and expenses-18 765Total expenses

830Operating income

-3 411Acquisition costs-14 430Claims and claim adjustment expenses

Expenses

27Trading revenues1 188Net realised investment gains1 988Net investment income

16 346Premiums earnedRevenues

2005CHF m

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Premiums earned by line of business

Property & CasualtyShift to property – non-traditional reduced

The reduction in non-traditional business due to continuing lower demand has increased all the traditional weightings

Property and specialty also benefited from strong rate increases in nat cat

Good contribution from Insurance Solutions for property and liability

31% 35%

13%11%

25%26%

5%6%

19%17%

9%3%

2005 2006

Non-traditionalSpecialtyAccidentMotorLiabilityProperty

Premiums earned2005 16 3462006 17 441

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Treaty year

Premiums by type of business

Property & Casualty Insurance Solutions increases direct and non-proportional portfolio weightings

45% 41%

31%33%

24% 26%

2005 2006

Facultative/directNon-proportionalProportional

Based on treaty year premiums (2006 estimated), traditional business only

Proportional split for Swiss Re book stable

IS added significant volumes of direct business through Commercial Insurance

The IS treaty portfolio is weighted towards non-proportional covers

Overall effect is to reduce the proportional treaty segment

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Swiss Re’s catastrophe perils hedging has grown further

1

2

3

4

Jul 99 Jul 00 Jul 01 Jul 02 Jul 03 Jul 04 Jul 05 Jul 06 Jan 07

Industry losswarranties (ILW) andDerivativesInsurance linkedsecurities (e.g.Successor, Australis)

Swaps

Retro

CHF bn

Hedging instruments

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US onshore hurricane Exposure and protection of Swiss Re

USD20bn

USD150bn

Indu

stry

loss

18%

0.5%

Loss

pro

babi

lity

Substantial protection exists throughout the risk spectrum

Protection is twofold:

– low attaching protection against severe earnings volatility through ILS, ILWand retrocession

– medium to high attaching hedging for capital protection through ILS, retrocession and risk swaps

0% 50% 100%

* Expected pattern as of June 2007; data includes assumptions about the basis risk between inwards indemnity covers and outwards hedging based on parametric or market loss triggers.

Treaty year Hedging* Loss for Swiss Re

Premiums by type of business

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Property & CasualtyPositive net reserve development of CHF 100 million

CHF m

Reserve development since 2003

-1395

-948

-400

100

-1,500

-1,250

-1,000

-750

-500

-250

0

250

2003 2004 2005 2006

Slide 40

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Loss development tableNet claim reserves and re-estimates

Claim reserves as of 31.12.

1 year later

200556 549

2 years later

200347 874

47 727

52 096

3 years later

200245 965

47 047

47 063

51 029

4 years later

200152 265

47 195

47 836

48 200

51 481

5 years later

200042 398

42 336

40 338

41 120

41 302

42 680Current reservesplus payments sinceoriginal reportingyear

6 years later

199938 031

37 580

36 528

34 750

34 464

34 601

35 643

7 years later

199833 387

34 810

33 648

32 291

30 234

29 536

29 452

30 204

8 years later

199731 767

29 904

30 901

29 233

27 694

25 733

25 419

25 277

25 686

9 years later

199628 474

28 385

26 602

27 463

26 080

24 811

23 053

22 604

22 553

23 070

10 years later

200448 379

53 461

Surplus / (deficiency) 5 134 5 799 2 904 2 028 -617 289 -5 294 -3 975 -3 829 2 169

As a percent of original reserves 18.0% 18.3% 8.7% 5.3% -1.5% 0.6% -11.5% -8.3% -7.9% 3.8%

As a percent of original reserves

Excluding foreign exchange:Surplus / (deficiency)

Original reporting year

23 340

25 967

30 483

36 003

43 015

51 976

51 259

51 848

52 207

54 379

200675 533

18.1% 16.9% 9.9% -3.0% -11.8% -14.8% -15.1% -7.2% -1.2% 0.9%

5 158 5 365 3 312 -1 141 -4 986 -7 748 -6 963 -3 470 -605 502

CHF millions

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Loss development tableNet claim reserves and payments

1 year later

2 years later

9 440

16 281

3 years later

10 285

16 436

21 373

4 years later

10 854

18 184

23 324

27 306

5 years later

2001

8 451

15 529

20 093

23 726

26 153Paid claims and LAE(cumulative) in respectof losses prior to31.12. as of

6 years later

2000

8 355

13 471

17 214

20 096

22 238

23 905

7 years later

1999

6 703

11 337

14 193

16 418

18 322

19 708

20 879

8 years later

1998

5 725

9 636

12 738

14 328

15 847

17 152

18 067

18 935

9 years later

1997

5 572

8 568

11 016

13 328

14 397

15 438

16 356

17 012

17 676

10 years later

1996

18 439

10 129

LAE = Loss adjustment expenses

CHF millions Original reporting year

19 954

22 258

25 616

28 542

30 833

25 727

21 476

16 654

10 534

Cumulative pay-outs as of 31.12.06 64.8% 62.8% 66.7% 67.4% 67.3% 59.0% 56.0% 44.9% 34.4% 18.6%

200520032002 2004 2006

56 54947 87445 96552 26542 39838 03133 38731 76728 474 48 379 75 533Claim reserves as of 31.12.

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Loss development tableGAAP perspective

Net impact on GAAP results

Less unwind of discount (offset with investment income)

Less non-traditional business (partially offset with investment income)

Less impact of minor accounting changes (2005)

Less impact of late reported premiums and commissions

Loss development table surplus (deficiency) as published

CHF m

-16125

050

-400400

107-400

2119

-994

2005

502

2006

Slide 43

ab


Asbestos & Environmental reservesContinuing low significance

A&E as % of total reserves

Total net reserves*

A&E as % of reserves

Total net non-life reserves

total Net A&E reservesYear end

2 961

2 757

2 118

1 675

1 357

1 375

2 226

2.7%100 7495.3%52 1692001

1.4%97 3662.8%47 4562004

1.8%92 6333.5%47 4142003

3.7%79 4216.9%43 1082000

2.3%92 1224.6%45 6882002

56 549

72 769

Asbestos & Environmental (A&E) reserve development

89 649

121 211 1.8%3.1%2006

1.5%2.4%2005

CHF m

* Unpaid claims and claim adjustment expenses and life and health policy benefits

Slide 44

ab


Life & Health income statementOperating result up 14%

n.a.n.a.

11%

0%

5%24%

0%-8%9%

5%-17%

-3%-1%

12%

Change constant

FX

10.0%6.3%

1 517

1 682

-15 638-961

-2 256-2 827-9 594

17 3201 5213 946

87910 974

2006

6%16 318Total revenues

0.4pts.9.6%Return on operating revenues in %0.8pts.5.5%Management expense ratio in %

14%

2%

7%26%

2%-6%

11%

-15%-1%0%

14%

Change

-3 019Interest credited to policyholders

881Fee income

1 333Operating result, ex. non-participating net realisedinvestment gains

-765Other operating costs and expenses-14 673Total expenses

1 645Operating income

-2 221Acquisition costs

-8 668Claims and claim adjustment expenses; L&H benefitsExpenses

1 799Net realised investment gains4 000Net investment income

9 638Premiums earnedRevenues

2005CHF m

Slide 45

ab


Life & Health Higher returns in Admin ReSM

more than offset lower traditional returns

-16%-2 258-2 68671%-569-333Interest credited to policyholders

-1%84184712%3834Fee income

Revenues

2.6pts.12.8%10.2%-0.2pts.9.2%9.4%Return on operating revenues0.7pts.9.4%8.7%1.2pts.5.5%4.3%Management expense ratio

15%43537913%1 082954Operating result, excl. non-participating net realised inv. gains

-18%42552012%1 2571 125Operating income

-15%-4 426-5 20618%-11 212-9 467Total expenses-2%-319-32546%-642-440Other operating costs and expenses

-61%-99-25610%-2 157-1 965Acquisition costs

-10%-1 750-1 93917%-7 844-6 729Claims and claim adjustment expenses; L&H benefits Expenses

-15%4 8515 72618%12 46910 592Total revenues-35%9361 44063%585359Net realised investment gains

-8%2 1942 3959%1 7521 605Net investment income

-16%8801 04417%10 0948 594Premiums earned

Change20062005Change20062005

Admin ReSMTraditionalCHF m

Slide 46

ab


20062005

11 85310 519Total

CHF m

Premiums earned and fee income

Life & Health Insurance Solutions leads to strong European growth

46%

18%15%

23% 31%

9% 8%

50%

2005 2006

Rest of WorldEuropeAdmin ReNorth America traditional

SM

Slide 47

ab


Financial Services income statementOperating income up 21%

n.a.

n.a.

19%

26%15%22%50%

24%-17%78%-7%-9%

20%

Change constant

FX

26.9%

89.9%

460

-1 503-646-364-493

1 963184573

2779

1 100

2006

18.8pts.8.1%Fee business: return on total revenues (in %) excluding proprietary asset management

8.7pts.81.2%Credit Solutions: combined ratio, trad (in %)

21%

27%16%23%50%

26%-16%80%-7%-7%

21%

Change

1 560Total revenues220Other revenues

-558Operating costs-1 181Total expenses

379Operating income

-295Acquisition costs-328Claims and claim adjustment expenses

Expenses

319Trading revenues29Net realised investment gains85Net investment income

907Premiums earnedRevenues

2005CHF m

Slide 48

ab


Capital Management and AdvisoryBack testing of trading Value-at-Risk

CMA risk is captured in disclosed Group risk figures

Risk appetite was well controlled during the year

Results were well within VaR and stress tolerances

Slide 49

ab


Net investment income grew 14%

Net investment income increased 14% to CHF 7.0 billion. Due to active duration management, Swiss Re’s running yield on its large fixed income portfolios increased from 4.6% in 2005 to 4.8% in 2006

92%-600-313Interest paid on cedant deposits

28%-373-292Investment expenses

19%1 4621 224Other asset classes

52%249164Equities

14%6 9906 137Net investment income

-11%670751Assets held for linked liabilities

5 582

2006

21%4 603Fixed income

Change 2005CHF m

Slide 50

ab


Lower realised gains

Net realised investment gains decreased to CHF 1.9bn

– 2005 benefited from a sizeable sale of BBB-rated corporate bonds

– Other includes costs of derivatives used to hedge equity and corporate bond portfolios against potential large declines in equity markets or widening of spreads as well as from reinsurance derivatives to protect against large nat cats

– Foreign exchange and mark-to-market on trading securities reversed in 2006 after large unrealised FX gains in 2005

-6%1 3191 396Assets held for linked liabilitiesn.a.-322135Other

50%850566Equities

-44%1 9483 474Total net realised investment gainsn.a.-43896

Foreign exchange remeasurement and desginated trading portfolios*

1442006

-70%481Fixed incomeChange 2005CHF m

* The designated trading portfolios are foreign currency denominated trading fixed income securities which back certain foreign currency denominated liabilities

Slide 51

ab


Return on investments calculation

-10 722-10 393Funds held under reinsurance treaties-10 667-3 964Other adjustments2

156 837119 057Invested assets

130 524114 679Average invested assets3

172 741125 756Total investments (as defined in the balance sheet)-21 668-13 681Assets held for linked liabilities12 7477 993Cash and cash equivalents14 40613 346Funds held by ceding companies

5.3%6.3%Return on investments

6 9907 227Investment result (basis for RoI)41-237Adjustments1

6 9497 464Investment result excl. linked

2006at avg FX

2005at avg FXCHF m

1 Income from current cash accounts, reinsurance derivatives, participating business and other adjustments2 GE Life UK, participating business and other adjustments3 Average assets are calculated as opening balance plus one half of the net asset turnover at average foreign

exchange rates

Slide 52

ab


Net unrealised gains on fixed income fell due to rising interest rates, while net unrealised gains on equities rose with the strong equity markets

Net unrealised gains

* Excluding assets held for linked liabilities

2 189

8941 115

86

96

On BS Off BS

OtherReal estateFixed incomeEquities

4 198*

2006

4 380*

2005

Total

CHF m, pre-tax

970

1 065

2 006

112

45

On BS Off BS

Slide 53

ab


Strong investment portfolio Growth of 34%

The investment portfolio grew 34%, from CHF 139bn at year end 2005 to CHF 186bn, due to the GE Insurance Solutions and GE Life UK acquisitions

19.6

8.4

3.61.7

105.7

Fixed incomeEquitiesOther investmentsReal estateCash and cash equivalents

2314of which assets held for linked liabilities

186139Balance sheet values

20062005CHF bn


31.6

13.64.3

4.3

132.2

Slide 54

ab


Fixed incomeActive duration management translates into higher yields

Bond yields rose over the course of 2006 in the major bond markets

Swiss Re successfully captured market movements by actively managing the duration

Average running yield on Swiss Re’s portfolio increased from 4.6% to 4.8%

Net unrealised gains of CHF 2.2bn at the end of 2005 decreased to CHF 1.0bn at the end of 2006

Interest rates and durations

4.14.5 4.6

4.0 3.9

7.6 7.5 7.7 7.56.8

2.7%

3.0%

3.3%

3.6%

3.9%

4.2%

4.5%

4.8%

5.1%

Dec 05 Mar 06 June 06 Sep-06 Dec 060.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

8.0

9.0

Duration total return portfolio (RHS)Duration L&H portfolio (RHS)5-year US govt bonds (LHS)

Yields US gvt bonds Duration of portfolios

Slide 55

ab


Gross exposure as of 31 December 2006

Excellent credit quality of corporate bonds

In 2006, the Group purchased credit default swaps on investment grade indices with the majority of the protection acquired in the A and BBB ratings. The net effect of the hedges was to reduce Swiss Re’s stress test exposure to widening credit spreads from a gross impact of CHF 1.4bn on average in 2006 to a net impact of CHF 1.2bn

A41%

AA16%

AAA13%

BBB23%

NR3%

B2%

BB2%

Gross exposure as of 31 December 2005

A42%

AA7%

AAA8%

BBB35%

NR1%

B3%

BB4%

Slide 56

ab


Return on equity calculation

25%28 00122 444Time weighted average equity

27%30 88424 393Closing equity 100%2 482Time weighted capital increase

Return on equity calculation

16.3%

24 3934 5602006

98%2 304Net income

6.0pts.10.3%Return on equity

19%20 495Opening equity

Change 2005CHF m

Slide 57

ab


Swiss Re’s effective capital management

22.9 30.9

2.13.8

3.53.4

3.2

3.1

5.5

3.3

2.21.4

1.0

19.218.516.722.6

1.0

2.6

0.9

0.7

0

5

10

15

20

25

30

35

40

2001 2002 2003 2004 2005 2006

0%

5%

10%

15%

20%

25%

30%

35%

Senior long-termfinancial debt

Hybrid capital

Mandatoryconvertibles

Shareholders'equity

Hybrid to totalcapital

Senior financialdebt to total capital

CHF bn

Hybrid / total capital 12.8% 15.5% 14.4% 13.1% 10.8% 13.8%

Senior debt / total capital 11.0% 9.9% 6.2% 4.1% 2.4% 2.3%

Swiss Re’s value proposition includes commitment to prudent capital management

At the same time financial flexibility and capital efficiency continue to improve over time

Slide 58

ab


Internal capital adequacy further strengthened

Comparison of capital requirement measures

99% Shortfall (Tail VaR) 99.5% VaR 99% VaR

211%

239%255%

291%

329%

359%

0%

100%

200%

300%

400%

Mid 2005 Mid 2006

Slide 59

ab


Capital required and capital available

14%11.39.9Swiss Re Group required capital

-100%0.00.1Funding and liquidity

13%1.71.5Credit-7%5.35.7Financial market

Base capital requirement using one year 99% VaR

-6.1

2.57.9

Mid 200644%5.5Property and casualty

30%-4.7Diversification effect

39%1.8Life and health

Change Mid 2005CHF bn

19%-3.2-2.7Tax and other

45%12.38.5P&C and L&H valuation adjustments

8%1.31.2Equalisation reserves81%-4.7-2.6Goodwill and intangibles

Calculation of available capital

40.6

8.1

-0.327.1

Mid 200623%22.0Shareholders’ equity

25%32.6Swiss Re Group available capital

84%4.4Hybrid capital

-117%1.8Market-to-market adjustments

Change Mid 2005CHF bn

All figures are based on Swiss GAAP

Slide 60

ab


Power of diversificationSwiss Re most diversified reinsurer

Geographic split of gross premiums written and fees assessed against policyholders; total of CHF 32.8bn as of end 2006

Insurance Solutions provides further diversification of client base and portfolio

Non-life: Near doubling of attractive US Regional & Specialty clients; high market share in specialty, e.g. aviation, marine, agro

Life & Health: Higher market share in Europe, particularly Germany and UK

2005 2006

North America

L&H27%Europe

Non-life25%

Europe L&H10%

RoW Non-life

17%

RoW L&H3%

North America Non-life,

18%

North America

L&H27%

Europe Non-life

17%

Europe L&H11%

RoW Non-life

24%

RoW L&H3%

North America Non-life,

18%

Slide 61

ab


Nat cat premiums and claims in excess of CHF 20 million

1.11.1Expected claims

1.91.8Expected net premiums

20072006CHF bn

Expected natural catastrophe premiums and claims

Figures are

for all catastrophe perils

inclusive of Insurance Solutions portfolio on an annualised basis

net of estimated hedging impacts (cat bonds, industry loss warranties, retrocessions)

Slide 62

ab


Earnings and book value per share

Book value per share 2004 to 2006Earnings per share 2004 to 2006

8.00 7.44

13.49

2004 2005 2006

in CHFCAGR 29.9%

66.0378.58 85.98

2004 2005 2006

in CHFCAGR 14.1%

Slide 63

ab


Premiums for 20 largest markets

22921019Mexico

3 4019982 403UK2 5822 48399Germany1 292579713Canada1 110969141France

99292468Switzerland950622328Australia864666198Italy65959168Spain646286360Netherlands626421205Japan619395224Ireland46143229Austria4504473China

280107173South Africa

32 81419 15113 663Total

18611076Israel

30221884South Korea31928732Bermuda

Gross premiums written and fees assessed against policyholders by country*

2 259

422

5 725Non-Life

13 6437 918USA

2 781522Other

422Denmark

TotalLifeCHF m

* Country split based on the country where the premium was generated or an approximation thereof

Slide 64

ab


Exchange rates

Geographic gross premiums written 2006split in main currencies

GBP8%

EUR21%

USD53%

Other14%

CAD4%

-1.57%

0.81%

1.251.271.24

USD/CHF

7.77%1.77%1.29%Change Factual 2005/Factual 2006

1.112.301.57Factual 2006

Average rates

1.32%

2.272.26

GBP/CHF1.031.55Factual 2005

-0.89%0.64%Change Interim 2006/Factual 2006

1.121.56Interim 2006

CAD/CHFEUR/CHF

-0.81%

-7.58%

1.221.231.32

USD/CHF

-7.08%5.75%3.87%Change Factual 2005/Factual 2006

1.052.391.61Factual 2006

Closing rates

5.29%

2.272.26

GBP/CHF1.131.55Factual 2005

-4.55%2.55%Change Interim 2006/Factual 2006

1.101.57Interim 2006

CAD/CHFEUR/CHF

Slide 65

ab


Corporate calendar

3 April 2007 Life & Health Embedded Value 2006

20 April 2007 143rd Annual General Meeting

8 May 2007 First quarter 2007 results

7 August 2007 Second quarter 2007 results

6 November 2007 Third quarter 2007 results

11 December 2007 Investors’ day

Slide 66

ab


Investor Relations contacts

Hotline +41 43 285 4444

– Susan Holliday +41 43 285 6516– Andreas Leu +41 43 285 5603– Rolf Winter +41 43 285 9673

E-mail [email protected]

Slide 67

ab


Cautionary note on forward-looking statements

Certain statements and illustrations contained herein are forward-looking. These statements and illustrations provide current expectations of future eventsbased on certain assumptions and include any statement that does not directly relate to a historical fact or current fact. Forward-looking statements typicallyare identified by words or phrases such as "anticipate", "assume", "believe", "continue", "estimate", "expect", "foresee", "intend", "may increase" and "mayfluctuate" and similar expressions or by future or conditional verbs such as "will", "should", "would" and "could". These forward-looking statements involveknown and unknown risks, uncertainties and other factors, which may cause Swiss Re's actual results, performance, achievements or prospects to bematerially different from any future results, performance, achievements or prospects expressed or implied by such statements. Such factors include, amongothers:

the impact of significant investments, acquisitions or dispositions, and any delays, unexpected costs or other issues experienced in connection with any such transactions, including, in the case ofacquisitions, issues arising in connection with integrating acquired operations; cyclicality of the reinsurance industry;changes in general economic conditions, particularly in our coremarkets;uncertainties in estimating reserves;the performance of financial markets;expected changes in our investment results as a result of the changed composition of our invested assets or changes in our investment policy;the frequency, severity and development of insured claim events;acts of terrorism and acts of war;

These factors are not exhaustive. We operate in a continually changing environment and new risks emerge continually. Readers are cautioned not to placeundue reliance on forward-looking statements. We undertake no obligation to publicly revise or update any forward-looking statements, whether as a resultof new information, future events or otherwise.

mortality and morbidity experience;policy renewal and lapse rates;changes in rating agency policies or practices;the lowering or withdrawal of one or more of the financial strength or credit ratings of one or more of our subsidiaries;changes in levels of interest rates;political risks in the countries in which we operate or in which we insure risks;extraordinary events affecting our clients, such as bankruptciesand liquidations;risks associated with implementing our business strategies;changes in currency exchange rates;changes in laws and regulations, including changes in accountingstandards and taxation requirements; andchanges in competitive pressures.

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Analysts'meeting 20070301 FINAL SPEAKERNOTESSlide 5 ab Analysts' meeting Zurich, 1 March 2007 Key...

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