Valuation
SST balance sheet
The SST balance sheet is prepared based on the same market-consistent valuation principles as Swiss Re’s internal EVM framework. EVM is therefore used as a basis for preparing the SST balance sheet and valuation adjustments to EVM mainly affect capital costs and deferred taxes. The difference between assets and liabilities is defined as the SST net asset value, which is the basis for the calculation of the SST RBC.
The SST valuation methodology is further described in the Appendix of this Report.
Download |
USD millions |
Notes |
SST 2017 |
SST 2018 |
Change |
Real estate |
|
|
|
|
Investments in subsidiaries and affiliated companies |
|
2 064 |
2 013 |
–51 |
Fixed income securities |
1 |
719 |
1 195 |
476 |
Loans |
|
1 112 |
1 133 |
21 |
Mortgages |
|
|
|
|
Equity securities |
|
51 |
51 |
|
Other investments: |
|
|
|
|
Shares in investment funds |
2 |
1 644 |
1 951 |
307 |
Alternative investments |
|
|
|
|
Other investments |
3 |
604 |
208 |
–396 |
Investments for unit-linked and with-profit business |
|
|
|
|
Derivative financial instruments assets |
|
3 |
5 |
2 |
Total market value of investments |
|
6 197 |
6 556 |
359 |
Cash and cash equivalents |
|
116 |
107 |
–9 |
Funds held by ceding companies and other receivables from reinsurance |
4 |
701 |
2 020 |
1 319 |
Other receivables |
|
80 |
105 |
25 |
Other assets |
|
|
|
|
Total other assets |
|
897 |
2 232 |
1 335 |
Total assets |
|
7 094 |
8 788 |
1 694 |
|
|
|
|
|
Best estimate value of insurance liabilities before retrocessions |
|
|
|
|
Direct insurance: |
|
|
|
|
Life insurance (excluding unit-linked business) |
|
|
|
|
Non-life insurance |
|
|
|
|
Health insurance |
|
|
|
|
Unit-linked life insurance |
|
|
|
|
Other business |
|
|
|
|
Active reinsurance: |
|
|
|
|
Life insurance (excluding unit-linked business) |
|
|
|
|
Non-life insurance |
5 |
3 260 |
4 630 |
1 370 |
Health insurance |
|
|
|
|
Unit-linked life insurance |
|
|
|
|
Other business |
|
|
|
|
Total best estimate value of insurance liabilities before retrocessions |
|
3 260 |
4 630 |
1 370 |
Retrocessions |
|
|
|
|
Direct insurance: |
|
|
|
|
Life insurance (excluding unit-linked business) |
|
|
|
|
Non-life insurance |
|
|
|
|
Health insurance |
|
|
|
|
Unit-linked life insurance |
|
|
|
|
Other business |
|
|
|
|
Active reinsurance: |
|
|
|
|
Life insurance (excluding unit-linked business) |
|
|
|
|
Non-life insurance |
|
–81 |
–96 |
–15 |
Health insurance |
|
|
|
|
Unit-linked life insurance |
|
|
|
|
Other business |
|
|
|
|
Total retrocessions |
|
–81 |
–96 |
–15 |
Non-technical provisions |
|
23 |
40 |
17 |
Debt |
|
497 |
526 |
29 |
Derivative financial instruments liabilities |
|
|
17 |
|
Funds held under reinsurance treaties |
|
|
|
|
Reinsurance balances payable |
6 |
57 |
488 |
431 |
Other liabilities |
|
146 |
101 |
–45 |
Total other liabilities |
|
723 |
1 172 |
449 |
Total liabilities |
|
3 902 |
5 706 |
1 804 |
|
|
|
|
|
SST net asset value |
|
3 192 |
3 082 |
–110 |
Notes
- The increase in fixed income securities is mainly due to net purchases of bonds, partially offset by negative foreign exchange movements.
- The increase in shares in investment funds is driven by purchases, partially offset by negative foreign exchange movements.
- The reduction in other investments is mainly due to net sales of short-term investments, including capital contribution proceeds used to increase funds held with Westport Insurance Corporation.
- The increase in funds held by ceding companies is mainly due to higher required funds by Westport Insurance Corporation and Swiss Re International due to the significant level of natural catastrophe losses.
- The increase in non-life best estimate liabilities is mainly due to the large natural catastrophe losses relating to hurricanes Harvey, Irma and Maria, earthquakes in Mexico, California wildfires, and Cyclone Debbie in Australia as well as unfavourable prior year reserve developments.
- The increase in reinsurance balance payables is mainly due to the decommissioning of the netting of assets and liabilities towards the same counterparty. This leads to a gross-up of the receivable from reinsurance as well as the reinsurance balance payables.
SST balance sheet comparison with Swiss statutory financial statements
The SST balance sheet comparison with the audited financial statements provides insights on the main valuation and scope differences.
An overview of the main valuation and scope differences and the definition of the aggregated line items is included in the Appendix of this Report.
Assets
Download |
USD millions |
Swiss statutory |
SST |
Difference |
Real estate |
|
|
|
Investments in subsidiaries and affiliated companies |
1 553 |
2 013 |
460 |
Fixed income securities |
1 199 |
1 195 |
–4 |
Loans |
970 |
1 133 |
163 |
Mortgages |
|
|
|
Equity securities |
|
51 |
51 |
Other investments |
2 198 |
2 159 |
–39 |
Investments for unit-linked and with-profit business |
|
|
|
Cash and cash equivalents |
17 |
107 |
90 |
Funds held by ceding companies and other receivables from reinsurance |
3 056 |
2 020 |
–1 036 |
Other assets |
722 |
110 |
–612 |
Total assets |
9 715 |
8 788 |
–927 |
Investment in subsidiaries and affiliated companies
Differences in valuation: SST reports investments in subsidiaries and affiliated companies at market-consistent value. In statutory reporting, participations are carried at cost, less necessary and legally permissible depreciation, fixed at historic FX rates.
Loans
Differences in valuation: In SST, intra-group loans are valued by discounting future estimated cash flows at risk-free rates, while under statutory reporting those loans are carried at nominal value. Value adjustments are recorded in statutory reporting, where the expected recovery value is lower than the nominal value.
Equity securities
Differences in scope: In SST, some shares in public equity investment funds are included in equity securities. Under statutory reporting, those funds are part of other investments.
Other investments
Differences in scope: In SST, short-term investments are defined on the basis of the remaining duration at time of purchase. Statutory reporting classifies short-term investments between cash and cash equivalents and other investments on the basis of initial duration. In SST, some public equity investment funds are classified as part of the equity securities. In statutory reporting, shares in investment funds are classified as other investments.
Differences in valuation: SST reports other investments such as shares in investment funds, private equity or hedge funds at market value. In statutory reporting, those securities are valued at cost, less necessary and legally permissible depreciation.
Cash and cash equivalents
Differences in scope: Statutory reporting classifies short-term investments between cash and cash equivalents and other investments on the basis of initial duration, while SST classifies them on the basis of remaining duration at time of purchase.
Funds held by ceding companies and other receivables from reinsurance
Differences in scope: In SST, pipeline premiums are included in re/insurance liabilities, whereas statutory reporting includes them in other receivables from reinsurance.
Differences in valuation: In SST, funds withheld for which a fixed interest is credited are valued by discounting future estimated cash flows at risk-free rates. Under statutory reporting, those are generally measured at the consideration received or at market value of the underlying assets.
Other assets
Differences in scope: In SST, reinsurance recoverables are part of re/insurance liabilities, whereas they are disclosed in other assets in statutory reporting.
Differences in valuation: In SST, other assets are measured at fair value. In statutory reporting, other assets are generally carried at nominal value. Deferred acquisition costs recognised for statutory reporting are not valued for SST.
Liabilities
Download |
USD millions |
Swiss statutory |
SST |
Difference |
Re/insurance liabilities |
6 887 |
4 534 |
–2 353 |
Unit-linked and with-profit liabilities |
|
|
|
Debt |
500 |
526 |
26 |
Funds held under reinsurance treaties |
|
|
|
Other liabilities |
632 |
646 |
14 |
Total liabilities |
8 019 |
5 706 |
–2 313 |
Re/insurance liabilities
Differences in scope: In SST, reinsurance recoverables and pipeline premiums are shown in re/insurance liabilities. In statutory reporting, reinsurance recoverables are disclosed within other assets, while pipeline premiums are part of the funds held by ceding companies and other receivables from reinsurance.
Differences in valuation: In SST, liabilities are generally discounted using current risk-free rates. In statutory reporting there is generally no discounting for non-life technical provisions.
Debt
Differences in valuation: In SST, debt qualified as SST supplementary capital is carried at fair value. In statutory reporting, debt is carried at redemption value.
Other liabilities
Differences in scope: In SST, pipeline claims are included in re/insurance liabilities. Under statutory reporting, pipeline claims are part of other liabilities.
Differences in valuation: Derivative financial instruments are measured at fair value under SST. In statutory reporting, derivatives generally are carried at cost, less necessary and legally permissible depreciation.