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.
As the Company was created in 2016, it received an exemption from FINMA from filing a Financial Condition Report in 2017. There is therefore no comparison to prior year SST balance sheet in this Report.
Download |
USD millions |
Notes |
SST 2017 |
SST 2018 |
Change |
Real estate |
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Investments in subsidiaries and affiliated companies |
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Fixed income securities |
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229 |
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Loans |
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7 243 |
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Mortgages |
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Equity securities |
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Other investments: |
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Shares in investment funds |
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Alternative investments |
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Other investments |
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37 |
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Investments for unit-linked and with-profit business |
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Derivative financial instruments assets |
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Total market value of investments |
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7 509 |
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Cash and cash equivalents |
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35 |
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Funds held by ceding companies and other receivables from reinsurance |
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7 314 |
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Other receivables |
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230 |
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Other assets |
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Total other assets |
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7 579 |
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Total assets |
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15 088 |
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Best estimate value of insurance liabilities before retrocessions: |
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Direct insurance: |
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Life insurance (excluding unit-linked business) |
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Non-life insurance |
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Health insurance |
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Unit-linked life insurance |
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Other business |
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Active reinsurance: |
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Life insurance (excluding unit-linked business) |
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8 279 |
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Non-life insurance |
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Health insurance |
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Unit-linked life insurance |
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Other business |
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Total best estimate value of insurance liabilities before retrocessions |
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8 279 |
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Retrocessions: |
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Direct insurance: |
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Life insurance (excluding unit-linked business) |
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Non-life insurance |
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Health insurance |
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Unit-linked life insurance |
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Other business |
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Active reinsurance: |
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Life insurance (excluding unit-linked business) |
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976 |
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Non-life insurance |
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Health insurance |
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Unit-linked life insurance |
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Other business |
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Total retrocessions |
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976 |
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Non-technical provisions |
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2 |
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Debt |
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Derivative financial instruments liabilities |
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Funds held under reinsurance treaties |
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3 294 |
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Reinsurance balances payable |
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1 383 |
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Other liabilities |
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Total other liabilities |
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4 679 |
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Total liabilities |
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13 934 |
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SST net asset value |
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1 154 |
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Notes
None.
SST balance sheet comparison with Swiss statutory
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 |
|
|
|
Fixed income securities |
228 |
229 |
1 |
Loans |
|
7 243 |
7 243 |
Mortgages |
|
|
|
Equity securities |
|
|
|
Other investments |
70 |
37 |
–33 |
Investments for unit-linked and with-profit business |
|
|
|
Cash and cash equivalents |
1 |
35 |
34 |
Funds held by ceding companies and other receivables from reinsurance |
9 789 |
7 314 |
–2 475 |
Other assets |
1 681 |
230 |
–1 451 |
Total assets |
11 769 |
15 088 |
3 319 |
Fixed income securities
Differences in valuation: SST carries fixed income securities at market value. In statutory reporting, fixed income securities are valued at their amortised cost or lower market values.
Loans
Differences in scope: In SST, reinsurance contracts on a funds withheld basis for corporate-owned life insurance are reported as policy loans (look-through approach). In statutory reporting, those assets are part of the funds held by ceding companies and other receivables from reinsurance.
Differences in valuation: In SST, policy loans and 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 where the expected recovery value is lower than the nominal value.
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.
Cash and cash equivalents
Differences in scope: Please see above difference in scope for Other investments.
Funds held by ceding companies and other receivables from reinsurance
Differences in scope: In SST, pipeline premiums are included in re/insurance liabilities, whereas for statutory reporting, they are disclosed in funds held by ceding companies and other receivables from reinsurance. In SST, reinsurance contracts on a funds withheld basis for corporate-owned life insurance are reported as policy loans (look-through approach). In statutory reporting, those assets are part of the funds held by ceding companies and other receivables from reinsurance.
Differences in valuation: In SST, funds held by ceding companies for which a fixed interest is credited are valued by discounting future estimated cash flows at risk-free rates. Under statutory reporting, funds held by ceding companies 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 in statutory reporting, they are disclosed in other assets.
Differences in valuation: In SST, other assets are measured at fair value. In statutory reporting, other assets are generally carried at nominal value.
Liabilities
Download |
USD millions |
Swiss statutory |
SST |
Difference |
Re/insurance liabilities |
7 802 |
9 255 |
1 453 |
Unit-linked and with-profit liabilities |
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Debt |
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Funds held under reinsurance treaties |
2 859 |
3 294 |
435 |
Other liabilities |
924 |
1 385 |
461 |
Total liabilities |
11 585 |
13 934 |
2 349 |
Re/insurance liabilities
Differences in scope: In SST, reinsurance recoverables, deferred acquisition costs and pipeline premiums are shown in re/insurance liabilities. In statutory reporting, reinsurance recoverables and deferred acquisition costs 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: SST uses best estimates to value the reinsurance liabilities without specific margin for prudence. Statutory reporting values reinsurance liabilities at best estimates and requires provisions for adverse deviations (PADs). Other valuation differences arise from the discounting of the liability cash flows. In SST all liabilities are generally discounted using current risk-free rates. Under statutory reporting, technical provisions are generally discounted at the yields of the backing assets for life and health.
Funds held under reinsurance treaties
Differences in valuation: In SST, the valuation is based on best estimates of the underlying cash flows. Under statutory reporting, funds held under reinsurance treaties are carried at consideration received or market value of the underlying assets.
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: In SST, no specific provision is made for currency fluctuations. In statutory reporting, a provision for currency fluctuation comprises the net effect of foreign exchange gains and losses arising from the revaluation of the opening balance sheet and the translation adjustment of the income statement from average to closing exchange rates at year-end.