Extracts from Swiss Re’s 2019 Annual Report Swiss Re investor and analyst presentation Zurich, 19 March 2020 Economic performance and solvency Economic performance 2019 Strong economic earnings track record Economic solvency and capital generation 2 Swiss Re’s integrated economic framework (EVM) enables delivery of sustainable, long-term value creation Economic value management (EVM) is the core of our steering framework EVM key objectives Learning Strategy Portfolio- & perform - ance measure - ment EVM Capital allocation & target setting Decision making • Measure economic value generated from underwriting activities on a stand- alone basis • Measure economic value generated from investment activities after risk adjustment • Assess different underwriting and investment opportunities on a consistent basis ✓ Supports portfolio steering ✓ Allows consistent measurement of economic performance ✓ Forms basis for capital actions Extracts from Swiss Re’s 2019 Annual Report 3 Main drivers of the Group’s 2019 EVM results Elevated nat cat losses US casualty impact on P&C businesses Strong performance of L&H businesses Excellent investment result Multiple nat cat events and late reported losses on Typhoon Jebi Adverse trends in US casualty and decisive management actions in Corporate Solutions Large transactions and core performance positively impacting new business Strong performance across asset classes, supported by credit spread tightening 2019 total contribution to ENW (economic earnings) USD 2.9bn Extracts from Swiss Re’s 2019 Annual Report 4 Key EVM figures USD m, unless otherwise stated • EVM profit – new business • EVM profit – previous years’ business • EVM profit – investments • EVM profit • Release of current year capital costs • Cost of debt and additional taxes • Total contribution to Economic Net Worth (ENW) • ENW • ENW per share (USD) • ENW per share (CHF) • ENW per share growth P&C Re −209 −1 814 627 −1 396 931 114 −351 10 136 L&H Re 1 308 −272 739 1 775 980 −99 2 656 14 887 Corporate Solutions 164 −1 081 112 −805 176 −97 −727 2 306 Life Capital Group items 133 −137 596 591 346 937 3 955 −190 11 −6 −184 479 122 417 4 854 Total FY 2019 1 206 −3 293 2 068 −19 2 911 40 2 932 36 138 124.33 120.41 8.2% Total FY 2018 356 638 −1 686 −693 3 059 −200 2 166 35 993 119.96 118.20 4.4% Extracts from Swiss Re’s 2019 Annual Report 5 P&C Reinsurance impacted by large losses and adverse trends in US casualty EVM premiums and fees Total contribution to ENW (USD m) EVM profit split (USD m) USD 23.5bn In 2019 USD 18.6bn In 2018 199 698 -430 -68 2018 627 -209 -1 814 -1 396 2019 New business Previous years’ business Investments 2 724 1 589 1 350 2015 2016 -954 2017 2018 -351 2019 • Negative contribution to ENW due to large losses and capital cost updates • ENW decreased due to the dividend paid to Group and a one-off change in presentation of historic inter-segment expense balances • Strong increase in EVM premiums of 27% driven by growth from large transactions ENW (USD m) Split of 2019 ENW and successful renewals • Improved new business result supported by growth. Both years impacted by large losses • Previous years’ business loss included capital cost updates, late claims from Typhoon Jebi and adverse industry trends in US casualty • Investment outperformance across equities and alternative investments as well as from credit spread tightening -22% 12 913 10 136 28% 72% 2018 2019 P&C Re Extracts from Swiss Re’s 2019 Annual Report 6 L&H Reinsurance continued to deliver strong contribution to ENW EVM premiums and fees EVM profit split (USD m) Total contribution to ENW (USD m) USD 27.2bn In 2019 USD 20.3bn In 2018 1 775 1 308 739 -272 2019 523 980 168 -625 2018 1 916 2 180 1 570 1 271 2 656 2015 2016 2017 2018 2019 • Total contribution to ENW reflected strong new business performance and investment outperformance • ENW increase driven by total contribution to ENW, partially offset by • Significant premium growth driven by large transactions across all regions ENW (USD m) Split of 2019 ENW New business Previous years’ business Investments the dividend paid to Group • New business profit reflected strong contribution from transactional business in EMEA and the Americas as well as from core business performance in the Americas • Previous years’ business loss included adverse assumption updates in the Americas and Asia, partially offset by a beneficial impact from the restructuring of intra-group retrocession agreements and several modelling and assumption updates • Investment result was driven by credit spread tightening and favourable equity performance +20% 14 887 12 377 41% 59% 2018 2019 L&H Re Extracts from Swiss Re’s 2019 Annual Report 7 Corporate Solutions results impacted by decisive management actions EVM premiums and fees EVM profit split (USD m) Total contribution to ENW (USD m) 197 140 USD 4.1bn In 2019 USD 4.0bn In 2018 -81 -530 -63 -673 2018 164 112 -1 081 -805 2019 New business Previous years’ business Investments • • Increase in EVM premiums driven by rate increases and growth in selected lines of business more than offsetting active pruning of several portfolios Improved new business result due to the Adverse Development Cover (ADC) with P&C Reinsurance1, rate hardening, large transactions and profitable performance from insurance in derivative form, partially offset by management actions • Previous years’ business loss impacted by large and medium-sized man-made losses mainly relating to adverse trends for US casualty business and management actions • Investment result was driven by credit spread tightening and favourable equity performance 1 The ADC with P&C Reinsurance covers accident years 2012-2018 of the Corporate Solutions portfolio 2015 2016 -750 2017 -474 2018 -727 2019 • Negative total contribution to ENW mainly due to large and medium- sized man-made losses and reserving actions • ENW decreased primarily due to the negative total contribution to ENW, partially offset by the capital contribution received from Group ENW (USD m) Split of 2019 ENW -6% 2 454 2 306 6% 2018 2019 94% Corporate Solutions Extracts from Swiss Re’s 2019 Annual Report 8 Life Capital result driven by investment outperformance and agreement to sell ReAssure EVM premiums and fees Total contribution to ENW (USD m) EVM profit split (USD m) USD 2.3bn In 2019 USD 1.0bn In 2018 591 133 596 -137 2019 66 374 -533 -93 2018 New business Previous years’ business Investments 987 937 599 265 -331 2015 2016 2017 2018 2019 • ENW increased as a result of the strong total contribution to ENW, partially offset by a higher dividend payout to Group than capital contribution received • Significant increase in premiums driven by growth in the open book businesses and the ENW (USD m) Split of 2019 ENW termination of an internal retrocession agreement with L&H Reinsurance • New business profit mainly driven by a gain on the announced agreement to sell ReAssure to Phoenix (USD 0.3bn), partially offset by expenses incurred to support the growth of the open book businesses • Previous years’ business loss impacted by changes in expense reserves and other items • Investment profit mainly driven by credit spread tightening in the UK +21% 3 955 3 270 2018 2019 11% 89% Life Capital Extracts from Swiss Re’s 2019 Annual Report 9 We continue to focus on our over-the-cycle Group financial targets Group return on equity Group ENW per share growth2 Group targets over-the-cycle 14 12 10 8 6 4 2 0 13.7% 13.7% 10.5% 10.6% 9.4% 9.6% 9.2% 9.4% 9.4% 9.6% 9.3% 1.0% 1.4% 2.5% 2013 2014 2015 2016 2017 2018 2019 20 10 5 0 Rf + 700 bps1 Over- the-cycle target 17.0% 7.2% 11.0% 10.8% 8.2% 10% 10% 10% 10% 10% 10% 10% 10% 5.4% 4.4% 2013 2014 2015 2016 2017 2018 2019 Over- the-cycle target actual 700 bps above 10y US Govt. bonds actual target 1 700 bps above 10y US Govt. bonds. Management to monitor a basket of rates reflecting Swiss Re’s business mix 2 The 10% ENW per share growth target is calculated as: (current-year closing ENW per share + current-year dividends per share) / (prior-year closing ENW per share + current-year opening balance sheet adjustments per share) Extracts from Swiss Re’s 2019 Annual Report 10 Economic performance and solvency Economic performance 2019 Strong economic earnings track record Economic solvency and capital generation 11 Swiss Re’s total shareholder return broadly tracks economic net worth (ENW) developments over time ENW per share growth vs. total shareholder return1 ENW per share vs. share price development 2 ENW per share growth2 Total shareholder return EVM results represent the market relevant information aligned with total return to shareholders 1 Reflects share price development and dividends paid in USD; indexed at year-end 2005 and shown on a cumulative basis to 28 February 2020 2 Calculated as: (current-year closing ENW per share + current-year dividends per share) / (prior-year closing ENW per share + current-year opening balance sheet adjustments per share); shown on a cumulative basis and indexed from 31 December 2005 Extracts from Swiss Re’s 2019 Annual Report 12 708090100110120130Swiss Re share price (CHF)ENW per share (CHF)0%50%100%150%200%250%300%200520072009201120132015201720197080901001101201302013201420152016201720182019 Swiss Re’s strong economic earnings track record 2015-2019 1 2 3 EVM profit new business USD 419m avg. 2015 - 2019 EVM profit previous years’ business USD -582m avg. 2015 - 2019 EVM profit investments USD 396m avg. 2015 - 2019 4 5 EVM profit Economic value is created if total economic return generated for shareholders is above expected total return for taking risk (capital costs) USD 232m avg. 2015 - 2019 6 Total contribution to ENW Represents total economic return generated for shareholders (economic earnings) and is the key element of gross excess capital generation Capital cost release, debt costs and tax Includes base cost of capital (risk-free return and market risk premium) and frictional capital costs USD 2 742m avg. 2015 - 2019 USD 2 974m avg. 2015 - 2019 Total contribution to ENW forms the basis for Swiss Re’s attractive capital management actions Extracts from Swiss Re’s 2019 Annual Report 13 EVM profit in 2019 impacted by nat cat losses and adverse US casualty trends 1 EVM profit – new business (USD m) 992 884 1 206 356 2019 highlights USD 419m avg. 2015 - 2019 • L&H Reinsurance with strong contribution driven by transactional growth (Americas and EMEA) and core business performance (Americas) • P&C Re negatively impacted by large nat cats above expectations and US casualty trends -1345 2 EVM profit – previous years’ business (USD m) 470 638 • Adverse loss developments (nat cat and US casualty) and higher funding costs for P&C Reinsurance -579 -148 USD -582m avg. 2015 - 2019 • L&H Reinsurance with assumption changes mainly due to persistency updates • Reserve strengthening for Corporate Solutions 3 EVM profit – investments (USD m) - 3 293 1 094 1 484 2 068 -982 2015 2016 2017 -1 686 2018 2019 USD 396m avg. 2015 - 2019 • Significant EVM profit mainly driven by credit spread tightening • Strong performance across all other asset classes Extracts from Swiss Re’s 2019 Annual Report 14 Strong long-term economic earnings despite record levels of nat cat losses and adverse US casualty trends 4 EVM profit (USD m) 1 399 6 Total contribution to ENW (USD m) 480 -9 2015 2016 2017 -19 2019 -693 2018 USD 232m avg. 2015 - 2019 3 672 4 231 2 932 2 974m avg. 2015 - 2019 2 166 1 867 5 Capital cost release, debt costs and tax (USD bn) 3.0 1.4 0.9 0.7 2.5 1.5 0.9 0.1 1.6 1.5 1.0 -0.9 2.4 1.6 1.0 -0.2 2.9 1.8 1.1 0.0 2015 2016 2017 2018 2019 Release of capital costs - Underwriting Debt costs and tax Release of capital costs - Investments USD 2 742m avg. 2015 - 2019 2015 2016 2017 2018 2019 Total contribution to ENW Ordinary dividends1 Average total contribution to ENW (economic earnings) of USD 3.0bn supports resilient capital generation 1 Assuming shares eligible for dividend as of 29 February 2020 are applicable for 2019 ordinary dividend; 2019 dividend subject to AGM 2020 approval Extracts from Swiss Re’s 2019 Annual Report 15 Economic performance and solvency Economic performance 2019 Strong economic earnings track record Economic solvency and capital generation 16 Swiss Re maintains a very strong Group capital position, with Group SST ratio above target SST ratio development USD bn, % 80.0 70.0 60.0 50.0 40.0 30.0 20.0 10.0 0 261% 262% 269% 251% 232% Illustrative 44.8 46.1 46.3 40.6 41.9 SST target capitalisation1 (220%) 17.2 17.6 17.2 16.2 18.0 2016 2017 2018 2019 2020 USD 5.3bn MVM USD 5.2bn MVM USD 5.9bn MVM USD 7.0bn MVM USD 9.4bn MVM SST available capital SST economic target capital Group SST ratio calculation SST available capital SST economic target capital = SST risk-bearing capital - MVM SST target capital - MVM • Group SST ratio remains very strong and above the target of 220%. The decrease reflects higher SST target capital and Market Value Margin (MVM2) • Increase in SST available capital driven by strong investment contribution and higher supplementary capital, partly offset by capital distribution to shareholders • Strong growth in insurance risk as well as lower interest rates increase SST economic target capital and MVM leading to the observed decrease in the ratio • Increase in MVM year-on-year mainly driven by the impact of lower interest rates and business growth in Asia and the US 1 SST 220% target capitalisation was introduced in 2017 2 MVM = Market Value Margin = Minimum cost of holding capital after the one-year SST period until the end of a potential run-off period Extracts from Swiss Re’s 2019 Annual Report 17 Group capital position remains industry-leading, also on a Solvency II equivalent basis Comparison of Group SST / Solvency II ratio1 232% Group SST ratio >260% 238% • SST and Solvency II are both comprehensive economic and risk-based solvency regimes 210% • Due to important differences, Solvency II equivalent ratio is higher for the Swiss Re Group • The Group benefits from peer-leading diversification resulting in superior capital efficiency and attractive capital management actions Group Solvency II equivalent ratio Average of reinsurance peers Solvency II ratio 2 Average of insurance peers Solvency II ratio 3 • Swiss Re has strong financial flexibility and is well positioned to respond to market shocks and growth opportunities 1/2020 Year-end 2019 1 Comparison was produced on a best effort basis, with Solvency II ratio estimate for Swiss Re not allowing for any long-term guarantee adjustments 2 Average of Hannover Re, Munich Re, SCOR 3 Average of Allianz, Aviva, AXA, Generali Extracts from Swiss Re’s 2019 Annual Report 18 Group total risk reflects insurance business growth in 2019 Group SST economic target capital USD bn Property & Casualty 11.7 Life & Health 9.9 Financial Market 11.2 Credit Total pre- diversification Diversification 3.5 32% 27% 31% 10% -14.9 Swiss Re shortfall 27% 26% 37% 10% 21.3 SST adjustment SST economic target capital -3.3 18.0 SST 1/2020 +1.2 +1.2 +0.2 +0.1 +2.8 +1.6 +1.8 Change to SST 1/2019 • Total risk (Swiss Re shortfall) increases driven by higher insurance risk, mainly reflecting business growth and the impact of lower interest rates • Financial market and credit risk increase only marginally • Higher weight of insurance risk leads to increased diversification Swiss Re economic target capital by segment USD bn 7% 12% 7% 18.0 39% 35% P&C Re L&H Re Corporate Solutions Life Capital Group items Extracts from Swiss Re’s 2019 Annual Report 19 Swiss Re’s capital strength resilient to market moves and insurance events Financial market sensitivities Insurance stresses Resulting estimated Group SST ratio 1/2020 Resulting estimated Group SST ratio 1/20201 205% 215% 225% 235% 245% Equity markets (-25%) Equity markets (+25%) 229% 235% 1 in 200-year Atlantic hurricane (USD 6.4bn2) 194% Interest rates (-50bps) 220% 1 in 200-year Californian earthquake (USD 4.4bn2) 206% Interest rates (+50bps) Credit spreads (-50bps) Credit spreads (+50bps) Real estate values (-25%) Real estate values (+25%) 242% 242% 1 in 200-year Pandemic (USD 3.1bn2) 1 in 200-year European windstorm (USD 2.4bn2) 238% 1 in 200-year Japanese earthquake (USD 3.7bn2) 224% 226% 220% Group SST target capitalisation 232% Group SST 1/2020 215% 218% 210% 220% Group SST target capitalisation 232% Group SST 1/2020 1 Excluding the impact of earned premiums for business written and reinstatement premiums that could be triggered as a result of the event 2 Based on 99.5% VaR annualised unexpected loss Extracts from Swiss Re’s 2019 Annual Report 20 Swiss Re is closely monitoring the impact of the Covid-19 outbreak Impact on business lines, operations and asset portfolio currently considered manageable Property & Casualty • Highest potential impact on credit & surety, event cancellation and business interruption Life & Health • Highest potential impact on mortality exposures, with large sums assured in North America, UK and Australia • Travel, selected casualty and specialty lines also exposed • Covid-19 not directly a covered condition in critical • Historically, economic slowdown leads to reduced claims frequency and lower claims inflation illness policies • Disability income and medical reimbursement less Asset Management • Negative impact from sharp drop in interest rates, widening credit spreads and lower equity markets, partly mitigated by hedging actions and high quality portfolio exposed Risk Management • Proprietary pandemic model with frequent updates by in-house experts, developing various scenarios and enabling active monitoring Very strong balance sheet and operational independence reinforce Swiss Re’s resilience Extracts from Swiss Re’s 2019 Annual Report 21 Group SST capitalisation remains very strong SST available capital (USD bn)1 40.6 SST 2019 -0.5 2.9 -1.2 0.9 41.9 1.8 -2.8 Fx and interest rate impact2 Economic earnings (Contribution to ENW) Capital deployment (capital allocation)3 Other (incl. valuation differences) Change in supplementary capital Capital repatriation4 SST 2020 SST ratio 251% +18%pts -11%pts -27%pts +6%pts +10%pts -15%pts 232% SST economic target capital (USD bn)1 16.2 SST 2019 0.5 1.4 Fx and interest rate impact2 Capital deployment (capital allocation)3 -0.1 Other 18.0 SST 2020 1 SST available capital: SST risk bearing capital – MVM; SST economic target capital: SST target capital – MVM 2 Foreign exchange impact on SST available capital and interest rate impact on valuation differences between EVM and SST 3 SST available capital: change in MVM from business update; SST economic target capital: change in shortfall from business update 4 Capital repatriation includes AGM 2020 proposal for regular dividend and new share buyback programme of up to CHF 1bn, of which a pro-rata share of CHF 0.8bn is used for SST 2020 Extracts from Swiss Re’s 2019 Annual Report 22 Strong solvency capital generation over the last five years Swiss Re’s solvency capital generation – five year aggregated view from Group SST 2015 to 2020 More details on following slides 14.9 Economic earnings (Total contribution to ENW) CHF 9 -7.7 1.6 8.8 -1.6 Capital management -13.6 Capital deployment (capital allocation) Other items (incl. fx)1 Net solvency capital generation Change in supplementary capital Capital repatriation2 CHF 5 CHF 8 -6.4 Change in excess capital yearly average per share • Solid economic earnings (USD 3.0bn on average) drove Swiss Re’s strong solvency capital generation over the last five years (USD 1.8bn net solvency capital generation on average per year or CHF 5 yearly average per share) • The Group has deployed USD 7.7bn of capital over the past five years, mainly to insurance risk pools • Over the period, Swiss Re implemented peer-leading capital repatriation of USD 13.6bn in total or USD 2.7bn per year 1 SST available capital: includes change in other EVM items (including foreign exchange impacts on ENW) and change in SST valuation differences with EVM on a best effort basis; SST economic target capital: includes foreign exchange, interest rate and other impacts on Swiss Re’s economic target capital on a best effort basis 2 Includes the sum of paid (2016 – 2019) and proposed 2020 dividends and public share buybacks (a pro-rata share of the 2020 share buyback programme of CHF 0.8bn is used) Extracts from Swiss Re’s 2019 Annual Report 23 Swiss Re’s dynamic capital structure provides significant financial flexibility, supported by the Group’s strong funding platforms Group available capital USD bn 57.4 6.7 7.0 6.5 37.2 37.2 24% 24% 15% 15% 54.2 5.5 5.2 6.9 36.6 36.0 20% 14% 14% 16% 2013 2016 Additional USD 2.7bn pre-funded subordinated debt available on demand LOC1 Senior debt2 Subordinated debt3 Core capital4 Subordinated leverage ratio5 Senior leverage ratio6 47.7 1.9 3.1 6.7 36.1 16% 10% 2019 1 Drawn unsecured LOC and related instruments (2013 and 2016 4 Core capital of Swiss Re Group is defined as economic net worth shows drawn and undrawn) (ENW) as of year-end 2019 2 Senior debt excluding non-recourse positions 3 Funded subordinated debt and contingent capital instruments (2016 also shows undrawn pre-funded facilities) 5 Funded subordinated debt divided by sum of funded subordinated debt and ENW (2016 also shows undrawn pre-funded facilities) (target: less than 20%) 6 Senior debt plus LOCs divided by total capital (target: less than 25%) • Significantly strengthened Group financial flexibility through senior debt deleveraging, issuance of contingent capital and pre- funded subordinated debt facilities (not counting as SST supplementary capital or rating agency capital until drawn) • Financial flexibility further enhanced with Alternative Capital Partners (ACP) by attracting third-party capital into selected risk pools to enable further growth • Notional amount of funded subordinated debt increased in 2019 due to: - Issuance by SRZ of EUR 750m and USD 1bn dated subordinated debt and USD 1bn perpetual fixed spread callable notes - Issuance by ReAssure of GBP 1bn subordinated debt - Redemption of SRZ’s GBP 500m perpetual subordinated debt and USD 750m perpetual subordinated notes with contingent write-off • Notional amount of senior debt decreased due to senior debt maturities, repayment of a Life Capital senior bank loan and reduction in LOC usage Extracts from Swiss Re’s 2019 Annual Report 24 Peer-leading capital repatriation USD bn in year paid Ordinary dividends USD 8.1bn Share buybacks USD 5.5bn 1.6 1.6 1.6 1.7 1.8 1.1 1.1 1.3 0.9 1.0 Per share in CHF 4.60 4.85 5.00 5.60 5.90 3.30 3.40 4.20 3.10 3.40 2016 2017 2018 2019 2020E2 2016 2017 2018 2019 2020E2 13.6 Capital repatriation Group SST 2015-20¹ Swiss Re P&C Reinsurance L&H Reinsurance Corporate Solutions Life Capital 2.5 2.0 1.3 1.4 0.4 0.7 0.7 0.3 0.3 0.2 0.1 0.0 0.4 1.1 1.1 0.5 2016 2017 2018 2019 2016 2017 2018 2019 2016 2017 2018 2019 2016 2017 2018 2019 Received capital contribution of USD 1.0bn in 2017 and USD 0.6bn in 2019 Received capital contribution of USD 1.6bn in 2016 (Guardian) and USD 0.8bn in 2017-2019 1 Capital repatriation includes dividends and share buybacks paid in 2016-19 and projected for 2020 2 Capital repatriation includes AGM 2020 proposal for ordinary dividend and potential new share buyback programme of up to CHF 1bn purchase value, of which a pro-rata share of CHF 0.8bn is used for SST Extracts from Swiss Re’s 2019 Annual Report 25 Loss ratio development on underwriting year triangles 26 Overall level of reserving comfort maintained across P&C business l s e g n a i r t Y U f o e p o c s n I ) s r a e y g n i t i r w r e d n u 9 1 - 4 0 0 2 ( Property • Reserve position remains very strong in 2019 • Minor reserve releases in comparison to the low level of US natural catastrophes USD 9.5bn • Reserve position remains strong overall Casualty • More adverse liability trends reflected especially on the most recent underwriting years, supported by portfolio remediation USD 26.5bn USD 7.1bn – Motor USD 16.4bn – Liability USD 3.0bn – Accident & Health (A&H) Specialty • Reserve position remains very strong despite the large losses that occurred in 2019 USD 6.2bn Asbestos & environmental (A&E) Other (traditional & non-traditional) • Low number of claims reported during 2019 implying a favourable development and giving more comfort around existing reserves USD 1.8bn • Stable position compared to last year • Improvement to UK non-traditional deals, where the claims severity has shown to be lower than expected USD 13.1bn Total Group 2019 US GAAP P&C reserves on a gross basis USD 57.1bn Challenging trends in US liability are manageable in the context of Swiss Re’s overall large, diversified reserves Extracts from Swiss Re’s 2019 Annual Report 27 Swiss Re’s reserve setting and governance process remains robust, with several layers of oversight First line of defence Second line of defence Regional Reserving Actuaries (RRAs) propose reserve levels, initially based on P0 Underwriting (incl. setting of initial costing view “P0”) Regional Reserving Committees (RRCs) reviews & approves proposals of RRAs (including any deviations from P0) Actuarial Control conducts quarterly reviews, deep-dive reviews and assesses positioning within best estimate range Group Reserving Committee carries out RRC oversight, with four members from the Group Executive Committee • Reserving approach starts with initial costing view provided by underwriting (P0); which may be challenged based on actuarial analysis • In-depth initial loss pick reviews are regularly conducted (usually during the last quarter of the year), leading to potential movements in reserves • Qualitative information feeds into reserving process via constant dialogue between reserving, underwriting/pricing and claims management Extracts from Swiss Re’s 2019 Annual Report 28 Marked increase in client notifications observed in late 2019 led to timely reserving actions, including assumption changes Increase in reported US liability claims from CAY & PAY P&C Reinsurance (USD m) P&C Reinsurance 2 000 1 500 1 000 500 0 H1 2019 H2 2019 • Swiss Re observed higher than expected severity in US excess casualty and large umbrella, with underwriting years 2014 to 2018 most affected • Reserves increased in response to these trends • In-depth initial loss pick review in Q4 2019 led to RRCs adjusting US casualty initial loss picks • For selected clients, current reserves are based on loss ratios considerably higher than costed levels (10-20%pts), demonstrating added caution Corporate Solutions (USD m) Corporate Solutions 800 600 400 200 0 H1 2019 H2 2019 • Management actions included reserve strengthening in H1 (mostly case reserves) and H2 (case reserves, IBNR and higher initial loss picks) • IBNR levels were increased during 2019 to reflect Swiss Re’s assumption that claims trends will deteriorate further Continuous reserving actions to reflect ongoing market trends and uncertainty Extracts from Swiss Re’s 2019 Annual Report 29 2019 measures to improve casualty profitability justify improved Ultimate Loss Ratios P&C Reinsurance Corporate Solutions More adequate pricing and profitability Price adequacy improved in 2019 compared to 2018, particularly in US liability and motor, supported by primary rate improvements. Internal ‘Raise the Bar’ initiative led to an average 1% loss ratio improvement per annum for 2018-20 Price adequacy significantly improved in 2019 compared to 2018. Business retained in the US with more attractive profile and lower estimated loss ratios Portfolio management Reducing casualty business which was not meeting required profitability levels. Relative shift from proportional towards non-proportional for core business Pruning of USD 123m of US general liability business (gross premiums) which was not meeting required profitability levels Growth in more attractive new business Business written in 2019 has more attractive profile: eg in US/EMEA liability, move towards SME and mid-market away from Large Corporate Risks; motor growth in Asia at lower combined ratios Business written actively in 2019 focused on relatively more attractive segments, with a clear shift away from umbrella and excess casualty -2 to -3%pts loss ratio Motor / liability Reinsurance -16%pts loss ratio Liability Corporate Solutions Extracts from Swiss Re’s 2019 Annual Report 30 Measures taken in 2019 underpin the Group’s P&C reserve strength, demonstrated by remaining in the upper half of the best estimate range Group reserves positioned on upper half of best estimate range Resilient, large and diversified P&C reserve book Mid-point 60th percentile 80th percentile Best estimate range Booked reserves remain positioned on the upper half of the best estimate range, between the 60-80th percentile Casualty reserves remain prudent, positioned between the 60-80th percentile of the best estimate range Liability reserves remain adequately reserved 2019 total Swiss Re Group P&C reserves1 USD 55.7bn 12% 18% 15% 18% 25% 11% Property Motor A&H Liability US Liability non-US Specialty Corporate Solutions USD 11.5bn Property Motor A&H 12% 15% 10% 2% Property Motor A&H 23% Liability US 24% Liability US Liability non-US Specialty 38% Liability non-US Specialty P&C Reinsurance USD 44.2bn 12% 18% 17% 22% 8% 1 Includes only legal entities for which range analysis is performed, explaining difference compared to slide 27 Extracts from Swiss Re’s 2019 Annual Report 31 Considerations for projecting underwriting year (UY) triangles • Earned premiums are shown net of commissions • UY 2019 premiums have not been fully earned, so ratios for paid and reported appear artificially high – both the premiums and losses need to be projected to an ultimate basis to derive an appropriate loss ratio Property • P&C Re and Corporate Solutions impacted by large nat cats for the three most recent underwriting years – therefore any development factors need to allow for those impacts l s e g n a i r t Y U f o e p o c s n I ) s r a e y g n i t i r w r e d n u 9 1 - 4 0 0 2 ( Casualty • Chain Ladder method not appropriate for recent underwriting years given their lack of maturity – applying a Bornhuetter-Ferguson method would be more suitable • Motor Reinsurance: Ogden impact is in Motor Non-Proportional Reinsurance portfolio • Liability Corporate Solutions: impact of the large losses for UY 2015 to 2018 relates to portfolios that have been pruned in UY 2019 • A&H Reinsurance: 2019 UY business mix has a shorter tail than in the past, with a different development pattern, making historic loss factors inappropriate • A&H Corporate Solutions: change in business mix where most recent underwriting years mainly include short tail business, while older underwriting years relate to long tail business – therefore tail for older underwriting years can not be applied to the most recent underwriting years Specialty • P&C Re and Corporate Solutions impacted by large man made and nat cats losses for the five most recent underwriting years, including in credit & surety – therefore any development factors need to allow for those impacts Extracts from Swiss Re’s 2019 Annual Report 32 Liability Reinsurance – adverse recent US trends reflected Treaty Year Earned Premium USD m 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2 582 2 414 2 008 1 729 1 332 1 212 1 115 1 158 1 502 1 455 1 864 1 613 2 315 2 370 2 326 1 559 Reported Loss Ratios per Development Month 24 36 72 48 60 84 96 12 108 120 132 144 156 168 180 192 8% 22% 32% 42% 47% 51% 53% 55% 55% 56% 57% 57% 58% 59% 59% 60% 2% 15% 23% 29% 37% 41% 43% 44% 45% 46% 47% 48% 49% 50% 50% 4% 20% 27% 39% 47% 54% 54% 56% 58% 59% 60% 60% 61% 62% 4% 19% 32% 39% 45% 51% 52% 55% 59% 63% 64% 66% 67% 5% 25% 39% 49% 54% 60% 68% 68% 71% 72% 73% 75% 6% 21% 36% 53% 59% 63% 65% 69% 72% 73% 75% 6% 19% 31% 44% 55% 59% 62% 64% 65% 66% 4% 17% 27% 36% 45% 50% 55% 59% 63% 3% 15% 25% 36% 48% 58% 62% 66% 5% 17% 27% 39% 50% 58% 64% 2% 14% 29% 44% 59% 78% 3% 17% 34% 51% 67% 4% 19% 38% 57% 2% 16% 38% 2% 20% 6% Ult. Loss Ratio 62% 53% 66% 72% 80% 82% 74% 72% 80% 80% 109% 103% 111% 109% 101% 101% Paid Losses Case Reserves IBNR 57% 47% 56% 60% 68% 64% 56% 54% 55% 52% 57% 47% 31% 15% 8% 2% 3% 3% 6% 7% 7% 11% 10% 9% 11% 12% 21% 20% 26% 23% 12% 5% 2% 3% 4% 5% 5% 7% 8% 9% 14% 16% 32% 36% 54% 71% 81% 94% • 2014 to 2017 UYs have seen a high level of reported loss activity driven largely by US liability and in particular umbrella and general liability • High reported loss activity experienced on 2014-2017 has also triggered some strengthening of 2018 and 2019 UYs • US claims environment remains challenging but the pricing environment has improved • Triangle includes a handful of large transactions where recent development has been adverse • Portfolio includes general and professional liability; reserve split: 72% proportional, 28% non-proportional Extracts from Swiss Re’s 2019 Annual Report 33 05001 0001 5002 0002 5003 0000%20%40%60%80%100%120%2004200520062007200820092010201120122013201420152016201720182019USD mPaid, Incurred and Ultimate Loss Ratio -Left Hand Scale Earned and Written Premium -Right Hand ScalePaid LossesCase ReservesIBNREarned Premium Liability Reinsurance – non-prop loss trends impacted by US business Liability Reinsurance – non-proportional total Liability Reinsurance – non-proportional - US Liability Reinsurance – non-proportional - non-US • Roughly half of the non-proportional liability reserves relate to US business • US business impacted by a handful of large transactions and several large losses where recent development has been adverse • Non-US business with flattening curves for most of the recent UYs. UY 2016 is impacted by several large losses • Proportionally higher IBNRs for US business for UY 2014 to 2018 Extracts from Swiss Re’s 2019 Annual Report 34 Liability Corporate Solutions – clear improvement expected Treaty Year Earned Premium USD m 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 1 526 1 091 1 066 817 654 517 527 543 676 784 842 894 965 962 1 030 493 Reported Loss Ratios per Development Month 48 24 72 60 36 96 84 12 108 120 132 144 156 168 180 192 2% 11% 20% 27% 35% 38% 43% 46% 47% 49% 49% 49% 50% 48% 48% 49% 2% 16% 26% 34% 39% 42% 45% 46% 46% 47% 48% 48% 48% 48% 48% 3% 13% 22% 31% 41% 47% 48% 49% 51% 53% 53% 53% 54% 55% 3% 21% 34% 60% 65% 66% 68% 84% 91% 94% 95% 95% 99% 3% 18% 33% 39% 43% 53% 58% 60% 63% 68% 63% 64% 3% 27% 43% 53% 59% 69% 70% 72% 76% 76% 79% 8% 29% 45% 55% 58% 71% 72% 73% 74% 74% 2% 14% 23% 35% 41% 44% 50% 53% 54% 2% 12% 28% 50% 62% 78% 85% 96% 1% 11% 21% 30% 37% 41% 47% 1% 11% 27% 41% 49% 60% 4% 24% 47% 62% 88% 1% 15% 34% 60% 4% 25% 50% 7% 35% 14% Ult. Loss Ratio 49% 49% 56% 101% 67% 83% 80% 63% 109% 66% 87% 124% 106% 103% 103% 90% Paid Losses Case Reserves IBNR 48% 48% 54% 90% 61% 68% 73% 52% 84% 42% 50% 52% 35% 22% 16% 2% 0% 0% 1% 9% 3% 11% 1% 3% 12% 5% 9% 36% 25% 27% 19% 12% 0% 0% 1% 1% 2% 3% 6% 8% 12% 20% 28% 36% 47% 53% 68% 76% • Price adequacy significantly improved in 2019 compared to 2018. 2019 portfolio already reflects partial benefits from remediation and pruning actions – future developments likely to be different to historic experience, given material shift in Corporate Solutions portfolio • High ultimate loss ratios for 2015-2018 (above 100%) reflect the incremental impact of large losses in 2019. These mainly relate to portfolios pruned during 2019 (USD 100m in 2018 UY, USD 70m in 2017 UY, USD 60m in 2016 UY, USD 65m in 2015 UY) • Portfolio includes general and professional liability Extracts from Swiss Re’s 2019 Annual Report 35 02004006008001 0001 2001 4001 6001 8000%20%40%60%80%100%120%140%2004200520062007200820092010201120122013201420152016201720182019USD mPaid, Incurred and Ultimate Loss Ratio -Left Hand Scale Earned and Written Premium -Right Hand ScalePaid LossesCase ReservesIBNREarned Premium2015201620172018201920082009201020112012201320140%20%40%60%80%100%120%140%01224364860728496108120132144Development MonthsReported Losses as % of Earned Premiums -Latest ten years Motor Reinsurance – benefits of improved pricing coming through Treaty Year Earned Premium USD m 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 1 567 1 296 1 145 1 334 1 343 1 384 1 109 1 883 2 421 2 295 2 097 2 457 3 052 2 532 2 343 1 337 Reported Loss Ratios per Development Month 60 36 24 72 48 96 84 12 108 120 132 144 156 168 180 192 39% 71% 75% 81% 81% 82% 82% 82% 82% 82% 82% 82% 82% 83% 83% 83% 17% 61% 67% 68% 70% 71% 71% 71% 72% 72% 72% 73% 74% 75% 75% 3% 57% 69% 73% 74% 74% 74% 75% 74% 74% 74% 76% 76% 76% 12% 66% 78% 80% 81% 82% 83% 83% 83% 83% 84% 84% 84% 22% 69% 79% 81% 83% 84% 85% 85% 85% 86% 86% 86% 20% 67% 80% 84% 85% 89% 90% 90% 90% 91% 91% 13% 60% 72% 77% 86% 87% 87% 88% 88% 89% 18% 71% 85% 88% 89% 91% 91% 92% 92% 14% 65% 79% 84% 87% 90% 90% 91% 16% 73% 89% 93% 96% 97% 97% 19% 71% 87% 92% 95% 96% 18% 68% 92% 98% 101% 16% 69% 87% 96% 14% 59% 82% 12% 61% 27% Ult. Loss Ratio 90% 81% 84% 89% 89% 96% 91% 94% 96% 100% 100% 106% 108% 104% 101% 94% Paid Losses Case Reserves IBNR 75% 64% 65% 77% 80% 84% 81% 87% 84% 90% 88% 89% 76% 61% 40% 14% 8% 11% 10% 8% 6% 7% 8% 5% 6% 7% 8% 12% 20% 21% 21% 13% 6% 6% 8% 5% 3% 4% 3% 2% 5% 3% 4% 5% 12% 22% 39% 67% • Business mix leads to different underlying reserve developments (eg positive run-off experienced in Germany, shorter-tail business in Asia and annuity components in Germany and the UK) • Deterioration of UY 2018 mostly relates to proportional business across all regions, where reserve strengthening was already carried out last year • UY 2019: growth in the business and current loss ratio reflects changes in business mix • Pricing has been adjusting upwards following adverse industry loss experience, especially in particular segments (eg US personal and commercial auto) • Improved pricing driving better than expected profitability for 2019 Extracts from Swiss Re’s 2019 Annual Report 36 2008200920102011201220132014201520162017201820190%20%40%60%80%100%120%01224364860728496108120132144Development MonthsReported Losses as % of Earned Premiums -Latest ten years 05001 0001 5002 0002 5003 0003 5000%20%40%60%80%100%120%2004200520062007200820092010201120122013201420152016201720182019USD mPaid, Incurred and Ultimate Loss Ratio -Left Hand Scale Earned and Written Premium -Right Hand ScalePaid LossesCase ReservesIBNREarned Premium Sustainability highlights 37 Swiss Re has a long tradition of sustainability and reinforces this with further ambitious steps towards net-zero emissions Signing of First sustainability- related publication Signing of Adopted FSB TCFD recommendations Reduced investing in thermal coal companies Reduced providing re/insurance to thermal coal Obtain 100% of power from renewable sources Net-zero GHG emissions in operations 2003 2009 2015 2017 2019 2023 2050 1979 2007/08 2012 2016 2018 2020 2030 100% GHG neutral Formal Sustainability Risk Framework developed Commitment to Shift of investment portfolio to follow ESG investment benchmarks Commitments to UN Climate Action Summit Stop providing re/insurance to most carbon-intensive oil & gas production Net-zero GHG emissions across entire business Extracts from Swiss Re’s 2019 Annual Report 38 Swiss Re is implementing an enhanced Group Sustainability Strategy Our 2030 Sustainability Ambitions Our guiding principles Mitigating climate risk and advancing the energy transition Building societal resilience Driving affordable insurance with digital solutions Embed sustainability in all our business activities Lead sustainability- linked solutions and embrace opportunities Quantify sustainability performance and impact We insure, invest, operate and share our knowledge in a way that tackles sustainability challenges and creates long-term value Extracts from Swiss Re’s 2019 Annual Report 39 Swiss Re’s Climate Action Plan has 3 key objectives 3 key objectives Examples Key 2019 achievements Leading provider of physical climate risk solutions • Insurance for peak perils (eg tropical cyclones) • Insurance coverage for secondary perils (eg extreme precipitation, droughts) Leading provider of solutions for the low-carbon transition • Sustainable energy and infrastructure solutions (eg renewables such as wind and solar power) • Sustainable transportation USD 10 bn Total amount of climate protection offered to (sub-)sovereigns >4 000 Wind and solar farms insured Building partnerships to develop scalable solutions to mitigate and adapt to climate change • Partnering with cedents/insurers, corporate clients and public sector clients • Solutions supporting the transition to low carbon energy system >300 Dialogue engagements with clients on thermal coal Extracts from Swiss Re’s 2019 Annual Report 40 Swiss Re’s industry-leading approach to responsible investing Enhancement Inclusion Exclusion ESG makes economic sense: better risk-adjusted return Information ratio (risk-adjusted return) from end May 2014 to end December 2019 ESG benchmarks and criteria Thematic investments Sustainability risk assessments Key 2019 highlights • ~100% of assets considering ESG criteria • Swiss Re selected to the 2019 PRI Leaders’ Group • 2019 green, social and sustainability bonds of USD 1.9bn • New 2024 target of USD 4bn • New absolute threshold for mining companies and power utility generators 0.81 0.88 0.50 0.55 0.60 0.65 0.70 0.75 0.80 0.85 0.90 US Corp Int. (Traditional) Sustainability US Corp Int. (ESG BB+) Sources: Barclays, Swiss Re Extracts from Swiss Re’s 2019 Annual Report 41 Swiss Re maintains sustainability leadership with continued efforts What lies ahead: Find out more: Sustainability in underwriting Further integrate sustainability into business propositions Sustainability Risks Revise Sustainability Business Risk Framework Develop carbon steering mechanisms Responsible Investing Further quantify, manage and reduce investment exposure to climate risk Targets and metrics Progress on net-zero CO2 ambitions (operations by 2030, Asset and Liability side by 2050) Increasingly measure and quantify sustainability performance 1 Task Force for Climate-related Financial Disclosures Extracts from Swiss Re’s 2019 Annual Report 42 Swiss Re’s 2019 Sustainability Report TCFD1 disclosures in Swiss Re’s Annual Report Appendix 43 EVM segmental income statement FY 2019 USD m, unless otherwise stated Underwriting result Gross premiums and fees Premiums and fees Claims and benefits Commissions Other Gross underwriting result − new business Expenses Net underwriting result − new business Taxes Capital costs EVM profit − new business EVM profit − previous years’ business EVM profit − underwriting Investment result Mark-to-market investment result Benchmark investment result Gross outperformance (underperformance) Other Expenses Net outperformance (underperformance) Taxes Capital costs EVM profit − investments EVM profit Cost of debt Release of current year capital costs Additional taxes Total contribution to ENW Reinsurance P&C Re L&H Re Corporate Solutions Life Capital Group items 51 418 50 753 −36 958 −8 575 9 5 228 −2 238 2 990 −625 −1 266 1 099 −2 086 −987 6 759 −4 265 2 494 92 −174 2 412 −511 −535 1 366 379 −595 1 911 610 2 305 24 174 23 540 −15 937 −5 873 14 1 745 −1 411 334 −209 −334 −209 −1 814 −2 023 3 370 −2 099 1 272 66 −103 1 234 −269 −338 627 −1 396 −273 931 386 −351 27 244 27 213 −21 021 −2 702 −6 3 484 −828 2 656 −417 −931 1 308 −272 1 036 3 388 −2 166 1 222 26 −71 1 178 −242 −197 739 1 775 −322 980 223 2 656 4 767 4 071 −2 197 −626 59 1 307 −875 432 −90 −178 164 −1 081 −917 541 −357 185 11 −20 175 −38 −25 112 −805 −45 176 −52 −727 2 656 2 296 −1 758 −334 380 584 −402 182 39 −88 133 −137 −4 1 870 −933 937 13 −28 922 −188 −139 596 591 −151 346 151 937 4 4 −123 −119 70 −140 −190 11 −179 395 −91 304 1 −26 278 −72 −211 −6 −184 −50 479 172 417 Total FY 2019 58 325 57 120 −40 913 −9 536 452 7 123 −3 639 3 485 −607 −1 672 1 206 −3 293 −2 087 9 565 −5 645 3 920 117 −249 3 788 −810 −910 2 068 −19 −841 2 911 881 2 932 Total FY 2018 44 807 43 860 −29 904 −8 278 286 5 965 −3 624 2 341 −415 −1 570 356 638 993 895 −1 702 −808 116 −252 −943 167 −911 −1 686 −693 −67 3 059 −133 2 166 Extracts from Swiss Re’s 2019 Annual Report 44 EVM balance sheet FY 2019 USD m Assets Investments Cash and cash equivalents In-force business assets Retrocession assets Other assets Total assets Liabilities In-force business liabilities Retrocession liabilities Provision for capital costs Future income tax liabilities Debt Other liabilities Total liabilities Economic net worth Total liabilities and economic net worth Reinsurance P&C Re L&H Re 100 977 5 372 271 110 40 701 8 310 426 470 313 213 39 415 8 152 4 542 22 185 13 941 401 448 25 023 426 470 61 167 3 675 20 125 2 744 5 101 92 812 63 537 662 922 −93 6 968 10 681 82 676 10 136 92 812 39 811 1 697 250 985 37 957 3 208 333 658 249 676 38 753 7 231 4 635 15 216 3 260 318 772 14 887 333 658 Corporate Solutions 8 027 1 696 2 564 6 741 1 058 20 087 14 870 1 390 257 −264 866 662 17 780 2 306 20 087 Life Capital 53 808 2 540 39 076 25 049 1 022 121 496 87 513 25 392 1 441 183 1 847 1 164 117 540 3 955 121 496 Group items 5 745 2 1 756 7 503 776 −259 626 1 505 2 649 4 854 7 503 Consolidation −13 544 −46 424 −46 419 −8 689 −115 075 −46 405 −46 445 −11 807 −10 419 −115 075 0 −115 075 Total FY 2019 155 013 9 611 266 327 26 072 3 457 460 480 369 967 19 752 9 850 4 203 13 718 6 852 424 342 36 138 460 480 Total FY 2018 143 663 5 695 223 075 22 170 3 540 398 142 315 737 17 114 7 569 4 264 11 180 6 285 362 149 35 993 398 142 Extracts from Swiss Re’s 2019 Annual Report 45 Development of ENW USD m Dividends –1.7 Share buyback –0.9 2 932 –2 590 – 197 35 993 36 138 ENW as of 1 January 2019 Total contribution to ENW Dividends and share buyback 1 Other, including foreign exchange on ENW ENW as of 31 December 2019 Increase in ENW driven by total contribution to ENW, partially offset by capital returned to shareholders 1 Includes USD 111m of the share buyback programme announced in 2018 and completed on 15 February 2019, and USD 820m from the share buyback programme launched on 6 May 2019 Extracts from Swiss Re’s 2019 Annual Report 46 Reconciliation of EVM ENW to US GAAP shareholders’ equity USD m 29 251 -895 414 225 -4 678 -2 605 23 795 -10 026 659 36 138 US GAAP shareholders’ equity Discounting Investments and debt Reserving basis Recognition differences Goodwill and other intangibles Taxes Capital costs Other Economic net worth (ENW) Main variance represents the valuation of liabilities, especially for L&H Reinsurance Extracts from Swiss Re’s 2019 Annual Report 47 Reconciliation of ENW to SST available capital USD m 36 138 9 850 4 203 -960 49 231 -389 -2 785 46 057 5 239 51 295 -9 422 41 873 Economic net worth (ENW) Reversal of provision for capital costs Reversal of future income tax liabilities Other adjustments SST net asset value (NAV) Deferred tax on real estate Projected capital repatriation SST core capital Supplementary capital SST risk bearing capital (RBC) Market value margin (MVM) SST available capital Main adjustments involve reversal of EVM capital costs not relevant for SST capital, as well as projected capital repatriation, supplementary capital and the market value margin (MVM) Extracts from Swiss Re’s 2019 Annual Report 48 Our capital management priorities remain unchanged Swiss Re’s capital management priorities remain unchanged I. Ensure superior capitalisation at all times and maximise financial flexibility II. Grow the regular dividend with long-term earnings, and at a minimum maintain it III. Deploy capital for business growth where it meets our strategy and profitability requirements IV. Repatriate further excess capital to shareholders I IV II III Group SST ratio SST 19 251% SST 20 232% Rating AA-/Aa3/A+ USD 8.1bn2 ordinary dividend (FY 15 to FY 19) Payout ratio 55%1 Capital management priorities USD 5.1bn3 special dividend & buyback (FY 15 to FY 19) Extraordinary Payout ratio 34%1 Business reinvestments Acquisitions 1 Payout ratio calculated as capital repatriation over total contribution to ENW; assumes AGM approval of the proposed ordinary dividend of CHF 5.90 per share and the share buyback of up to CHF 1bn 2 Includes AGM 2020 proposal for ordinary dividend of CHF 5.90 per share 3 Includes AGM 2020 proposal for share buyback programme of up to CHF 1bn Extracts from Swiss Re’s 2019 Annual Report 49 Swiss Re applies holistic capital allocation approach to systematically deploy capital to risk pools and maximise shareholder value creation Two strategic steering frameworks complementing each other Optimised performance ROE Risk Appetite Framework EVM Risk Appetite Statement Types of risks to be pursued or avoided Risk tolerance Boundaries to risk taking Market consistent valuation across all businesses Capital costs for risk-adjusted performance EVM profit as measure for shareholder value creation Group financial targets (over-the-cycle) ROE ≥ risk free + 700 bps1 Total shareholder return ENW per share growth 10% p.a.2 translates to EVM profit embedded in the performance cycle Solvency capital generation based on Swiss Re’s SST capitalisation target 1 700 bps above 10y US Govt. bonds. Management to monitor a basket of rates reflecting Swiss Re’s business mix 2 The 10% ENW per share growth target is calculated as follows: (current-year closing ENW per share + current-year dividends per share) / (prior-year closing ENW per share + current-year opening balance sheet adjustments per share). This new target applies from 1 January 2016 Extracts from Swiss Re’s 2019 Annual Report 50 P&C reserving methods No to little reported experience Costing view Initial loss pick The costing loss ratio (‘P0’) is the starting reserving estimate based on the underwriter’s view of the risk The initial loss pick (a priori loss ratio or ‘APLR’) could be the same as P0 or be adjusted for new information regarding loss trends, rate changes or more conservative/optimistic underwriter estimates (as approved by the Regional Reserving Committees) BF The Bornhuetter-Ferguson (‘BF’) method assumes that the future claims experience is in line with that anticipated by the initial loss pick assumption and is not based on year to date claims experience Benktander The Benktander method is a weighted average of the BF and Chain Ladder methods. The weighted average is linked to the reported development pattern (i.e. the older the Underwriting Year, the more weight is given to Chain Ladder method) Credible reported experience Chain Ladder The Chain Ladder method assumes past trends will be repeated (i.e. based on experience) and extrapolates the current position to ultimate using historical development trends. It is completely independent of P0 or initial loss pick • P&C Reserving indications, particularly for long-tail lines, are generally a blend of the initial costing loss ratio and actual reported experience, with more weighting given to experience over time • Reserving for non-traditional business, such as retroactive deals, is carried out on a deal-by-deal basis according to each deal’s specifications • For large events, which are sudden and unexpected, a separate process combines all the relevant expertise in estimating the ultimate loss • Reserving for claims subject to periodic payments depending on survival, eg workers’ comp or motor liability, is performed separately • Reserving for asbestos and environmental (A&E) claims is based on benchmarks which are reassessed annually Extracts from Swiss Re’s 2019 Annual Report 51 Underwriting year triangles disclosed online and accident year triangles disclosed in the Financial Report Underwriting year (UY) triangle Accident year (AY) triangle1 1 1 Required supplementary information The above shows Swiss Re property Reinsurance figures and chart as an example of the underwriting year P&C loss ratio development triangles The above triangle shows P&C Reinsurance – property as an example of the accident year triangles disclosed in the Financial Report UY triangle is the basis to determine best estimate ultimate claims AY triangle can give an indication of how Swiss Re’s initial estimation has developed over time 1 Note that the AY triangles for P&C Re do not include impact of ADC/LPT with Corporate Solutions since this is part of the current year; Corporate Solutions AY triangles are however shown net of the ADC/LPT impact Extracts from Swiss Re’s 2019 Annual Report 52 Underwriting and accident year triangles serve different purposes Definition Basis Data UY triangles AY triangles1 Underwriting year groups claims information according to the calendar year in which the original policy or reinsurance contract was incepted Accident year groups claims information by the calendar year in which the claim event (the date of loss) falls Gross of external retrocession Net of internal and external retrocession Paid and reported loss ratio triangles, earned premiums net of commissions and latest IBNR Paid and incurred (i.e. reported plus IBNR) claims triangles Scope Traditional P&C business Traditional and non-traditional business • Project paid or reported claims to ultimate and are the • Give an indication on how the ultimate loss (i.e. reported Purpose basis for deriving the best estimate reserves • Used internally to project to ultimate plus IBNR) developed over time • Constructed in order to comply with US GAAP reporting requirement Number of years disclosed 16 underwriting years 10 accident years for Reinsurance and 8 accident years for Corporate Solutions 1 Note that the AY triangles for P&C Re do not include impact of ADC/LPT with Corporate Solutions since this is part of the current year; Corporate Solutions AY triangles are however shown net of the ADC/LPT impact Extracts from Swiss Re’s 2019 Annual Report 53 Reserve walk between underwriting and accident year triangles P&C gross reserves displayed in the underwriting year triangles to gross US GAAP reserves as published in Note 5 in the Financial Report P&C and L&H reserves as published in the Financial Report Net US GAAP reserves to net P&C reserves displayed in the accident year triangles 15.2 72.2 -3.9 68.3 -1.1 -14.7 10.0 1.8 2.6 1.1 -0.6 USD bn 80 75 70 65 60 55 50 45 40 35 30 42.2 UY 2004-2019 P&C gross reserves on UY basis Other traditional business incl. reserves for prior UY US Asbestos & Environmental Non-traditional business Unallocated Loss Adjustment Expense (ULAE) Acquisition method accounting Gross L&H (short and long duration) Published gross USGAAP Reserves Retro Published net USGAAP Reserves ULAE Net L&H (short and long duration) 0.8 -12.7 40.6 Acquisition method accounting & other L&H discounting Reserves for prior AY Displayed P&C net reserves on AY basis (CorSo: 8 years and Reinsurance: 10 years) UY triangles and AY triangles are used for different purposes and are on a different basis AY triangles show paid and incurred claims, i.e. reported claims and IBNR, while, UY triangles show paid and reported claims Extracts from Swiss Re’s 2019 Annual Report 54 Swiss Re’s P&C reserves are large, diversified and resilient P&C Re Corporate Solutions 2019 total reserves of USD 44.2bn 2019 total reserves of USD 11.5bn 12% 18% 70% Property Casualty Specialty 12% 15% 73% US casualty USD 15.2bn 21% US liability USD 9.7bn 18% US casualty USD 5.8bn 23% 15% 64% 15% 3% 67% Liability Motor Accident & Health UY 2014 & onwards (78% IBNR) UY 1991-2013 (58% IBNR) UY 1990 & Prior (63% IBNR) 74% Liability Motor Accident & Health Property Casualty Specialty US liability USD 4.3bn 11% 17% 72% UY 2014 & onwards (71% IBNR) UY 1991-2013 (59% IBNR) UY 1990 & Prior (60% IBNR) Extracts from Swiss Re’s 2019 Annual Report 55 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 any statement that does not directly relate to a historical fact or current fact. Forward-looking statements typically are identified by words or phrases such as “anticipate”, “assume”, “believe”, “continue”, “estimate”, “expect”, “foresee”, “intend”, “may increase”, “may fluctuate” and similar expressions, or by future or conditional verbs such as “will”, “should”, “would” and “could”. These forward-looking statements involve known and unknown risks, uncertainties and other factors, which may cause the Group’s actual results of operations, financial condition, solvency ratios, capital or liquidity positions or prospects to be materially different from any future results of operations, financial condition, solvency ratios, capital or liquidity positions or prospects expressed or implied by such statements or cause Swiss Re to not achieve its published targets. Such factors include, among others: • • the frequency, severity and development of insured claim events, particularly natural catastrophes, man- made disasters, pandemics, acts of terrorism or acts of war; • • • • • mortality, morbidity and longevity experience; the cyclicality of the reinsurance sector; • central bank intervention in the financial markets, trade wars or other protectionist measures relating to • international trade arrangements, adverse geopolitical events, domestic political upheavals or other developments that adversely impact global economic conditions; increased volatility of, and/or disruption in, global capital and credit markets; the Group’s ability to maintain sufficient liquidity and access to capital markets, including sufficient liquidity to cover potential recapture of reinsurance agreements, early calls of debt or debt-like arrangements and collateral calls due to actual or perceived deterioration of the Group’s financial strength or otherwise; the Group’s inability to realize amounts on sales of securities on the Group’s balance sheet equivalent to their values recorded for accounting purposes; the Group’s inability to generate sufficient investment income from its investment portfolio, including as a result of fluctuations in the equity and fixed income markets, the composition of the investment portfolio or otherwise; changes in legislation and regulation, or the interpretations thereof by regulators and courts, affecting the Group or its ceding companies, including as a result of comprehensive reform or shifts away from multilateral approaches to regulation of global operations; the lowering or loss of one of the financial strength or other ratings of one or more companies in the Group, and developments adversely affecting its ability to achieve improved ratings; uncertainties in estimating reserves, including differences between actual claims experience and underwriting and reserving assumptions; policy renewal and lapse rates; uncertainties in estimating future claims for purposes of financial reporting, particularly with respect to large natural catastrophes and certain large man-made losses, as significant uncertainties may be involved in estimating losses from such events and preliminary estimates may be subject to change as new information becomes available; • • • • • • • • • • • • • • • • • legal actions or regulatory investigations or actions, including in respect of industry requirements or business conduct rules of general applicability; the outcome of tax audits, the ability to realize tax loss carryforwards and the ability to realize deferred tax assets (including by reason of the mix of earnings in a jurisdiction or deemed change of control), which could negatively impact future earnings, and the overall impact of changes in tax regimes on the Group’s business model; changes in accounting estimates or assumptions that affect reported amounts of assets, liabilities, revenues or expenses, including contingent assets and liabilities; changes in accounting standards, practices or policies; strengthening or weakening of foreign currencies; reforms of, or other potential changes to, benchmark reference rates; failure of the Group’s hedging arrangements to be effective; significant investments, acquisitions or dispositions, and any delays, unforeseen liabilities or other costs, lower-than-expected benefits, impairments, ratings action or other issues experienced in connection with any such transactions; extraordinary events affecting the Group’s clients and other counterparties, such as bankruptcies, liquidations and other credit-related events; changing levels of competition; the effects of business disruption due to terrorist attacks, cyberattacks, natural catastrophes, public health emergencies, hostilities or other events; limitations on the ability of the Group’s subsidiaries to pay dividends or make other distributions; and operational factors, including the efficacy of risk management and other internal procedures in anticipating and managing the foregoing risks. These factors are not exhaustive. Swiss Re operates in a continually changing environment and new risks emerge continually. Readers are cautioned not to place undue reliance on forward-looking statements. Swiss Re undertakes no obligation to publicly revise or update any forward-looking statements, whether as a result of new information, future events or otherwise. This communication is not intended to be a recommendation to buy, sell or hold securities and does not constitute an offer for the sale of, or the solicitation of an offer to buy, securities in any jurisdiction, including the United States. Any such offer will only be made by means of a prospectus or offering memorandum, and in compliance with applicable securities laws. Extracts from Swiss Re’s 2019 Annual Report 56 Corporate calendar & contacts Corporate calendar 2020 17 April 30 April 19 May 31 July 30 October 20 November 156th Annual General Meeting Q1 2020 Key Financial Data Management Dialogues H1 2020 Results 9M 2020 Key Financial Data Investors’ Day 2020 Investor Relations contacts Hotline +41 43 285 4444 E-mail Investor_Relations@swissre.com Philippe Brahin +41 43 285 7212 Olivia Brindle +41 43 285 64 37 Daniel Bischof +41 43 285 46 35 Deborah Gillott +41 43 285 25 15 Iunia Rauch-Chisacof +41 43 285 7844 Zuzanna Prabucka +41 43 285 48 56 Conference call Zurich Conference call Conference call Zurich Extracts from Swiss Re’s 2019 Annual Report 57 Extracts from Swiss Re’s 2019 Annual Report 58 Legal notice ©2020 Swiss Re. All rights reserved. You are not permitted to create any modifications or derivative works of this presentation or to use it for commercial or other public purposes without the prior written permission of Swiss Re. The information and opinions contained in the presentation are provided as at the date of the presentation and are subject to change without notice. Although the information used was taken from reliable sources, Swiss Re does not accept any responsibility for the accuracy or comprehensiveness of the details given. All liability for the accuracy and completeness thereof or for any damage or loss resulting from the use of the information contained in this presentation is expressly excluded. Under no circumstances shall Swiss Re or its Group companies be liable for any financial or consequential loss relating to this presentation. Extracts from Swiss Re’s 2019 Annual Report 59