Swiss Re AG · SIX:SREN

Swiss Re — S&P ILS Investor Conference 2007

12 slides from Swiss Re's conference presentation, Jun 28, 2007

  1. Slide 1: Securitisation and Insurance

    ab Securitisation and Insurance Jacques Aigrain Chief Executive Officer, Swiss Re S&P ILS Investor Conference 28 June 2007 ab Agenda „ Current market - A parallel to the banking industry - Insurance risk securitisation market development „ Market drivers and value of insurance risk securitisation „

  2. Slide 2: Commercial banking's ROE challenge in the late 80's

    Commercial banking’s ROE ab challenge in the late 80’s Commercial banking 1984 – 1991 Subsequent changes in the banking Low ROE – high volatility industry 15% X Modernized capital adequacy models 12% 9% X Accelerated balance sheet through strong growth of asset-backed 6% securities (ABS)/mortgage-ba

  3. Slide 3: Continuous spectrum of capital market solutions

    ab Agenda „ Current market - A parallel to the banking industry - Insurance risk securitisation market development „ Market drivers and value of insurance risk securitisation „ Key success factors and outlook „ Discussion S&P ILS Investor Conference Jacques Aigrain London, 28 June 2007 Slide 5 Conti

  4. Slide 4: Capital market alternatives are accelerating

    ab Capital market alternatives are accelerating Leading ILS underwriters Total ILS outstanding between 1 Jan ‘03 and 25 Jun ‘07, in USDbn as of 25 Jun ‘07, in USDbn 32 Swiss Re 28 24 Goldman Sachs 20 Lehman Brothers 16 12 UBS 8 Barclays 4 0 0 2 4 6 8 10 12 '97 '98 '99 '00 '01 '02 '03 '04 '05 '06 '07

  5. Slide 5: Multiple benefits of Capital Market Transactions

    Multiple benefits of ab Capital Market Transactions Swiss Re sponsored securitizations Manage Growth RoE volatility Queensgate Jan 05 USD 245m US Admin EV monetisation ReSM 9 9 9 Vita II Apr 05 USD 362m Extreme Peak risk protection mortality 9 ALPS II Dec 05 USD 370m US Admin EV monetisation ReSM 9

  6. Slide 6: Significant increase in market depth and breadth

    Significant increase in market depth ab and breadth # investors outside of (re)insurance # of sponsors securitized 41 150 35 24 50 41 11 20 24 20 1 3% 8 1999 8 1999 3% 5% 2003 14 2003 15% 15% S&P ILS Investor Conference 2007 Jacques Aigrain 32 London, 28 June 2007 # of risks securitized max risk pas

  7. Slide 7: Transparency: challenge and opportunity

    ab Agenda „ Current market - A parallel to the banking industry - Insurance risk securitisation market development „ Market drivers and value of insurance risk securitisation „ Key success factors and outlook „ Discussion S&P ILS Investor Conference Jacques Aigrain London, 28 June 2007 Slide 13 ab T

  8. Slide 8: Peak risk transfer solves a dilemma

    ab Peak risk transfer solves a dilemma The P&C industry is confronted with increased volatility, more complex risks and increased demand for capacity „ Demand for cat cover has been growing by almost 10% annually, more than most other lines of business „ Regulators and rating agencies require re/ins

  9. Slide 9: Solvency II and rating agencies to allow for securitization benefits

    Solvency II and rating agencies to ab allow for securitization benefits Economic and risk based principles support transparency and thereby securitization 1. Most advanced jurisdictions in Europe „ Regulators in Switzerland, Ireland, Netherlands, Luxembourg, the UK and now Luxembourg allow for 9. 9.

  10. Slide 10: Potential growth rate: a case for creation of a substantial market

    Potential growth rate: a case for ab creation of a substantial market The compound annual growth rate from 1997 – 2006 is approximately 45%, which translates to a total outstanding amount of 25B. 1,200,000 USD Actual Outstanding ILS 1,000,000 (45%(1)) Projected Outstanding ILS 800,000 (45%(2)) Proje

  11. Slide 11: Outlook for discussion: how the industry can foster securitization

    Outlook for discussion (l/ll) How the industry can foster ab the securitization developments „ Full collateralization inhibits further growth in insurance derivatives. Derivatives Need to move toward margin call principle „ Greater liquidity will improve transparency and extend counterparty credit „

  12. Slide 12: Agenda

    ab Agenda „ Current market - A parallel to the banking industry - Insurance risk securitisation market development „ Market drivers and value of insurance risk securitisation „ Key success factors and outlook „ Discussion S&P ILS Investor Conference Jacques Aigrain London, 28 June 2007 Slide 23

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