SST risk-bearing capital (SST RBC)

The SST RBC is derived from the SST net asset value (NAV), which represents the difference between the market consistent value of assets and liabilities, according to the valuation methodology prescribed under SST. For this purpose, the SST NAV is adjusted for the items in the table below.

Changes to the SST NAV mainly include economic capital generation or depletion due to underwriting and investment activities, foreign exchange movements, and capital management actions (such as paying dividends and share repurchases).

Compared to the previous reporting period, the SST NAV decreases by USD 3.6 billion. The decrease is mainly driven by dividends paid and share repurchases, negative foreign exchange movements in 2018 and negative investment contributions. These effects are partly offset by positive contributions from underwriting activities.

SST RISK-bearing capital


USD millions

SST 2018

SST 2019


SST net asset value

50 865

47 268

–3 597


–3 161

–3 058


SST core capital

47 704

44 210

–3 494

Supplementary capital

4 584

3 450

–1 134

SST risk-bearing capital

52 288

47 660

–4 628

Market value margin

5 943

7 023

1 080

SST risk-bearing capital – market value margin

46 345

40 637

–5 708

The overall contribution from underwriting activities is positive, mainly reflecting underwriting contributions from Property & Casualty Reinsurance, Life & Health Reinsurance and Life Capital, partly offset by negative underwriting contribution from Corporate Solutions, due to large natural catastrophe and man-made losses:

  • The Property & Casualty Reinsurance contribution to the SST NAV is mainly driven by a net favourable development in expected claims payout patterns and ultimate claims estimates. The positive impacts are partly offset by adverse large loss experience from natural catastrophe and man-made losses.
  • The Life & Health Reinsurance contribution is driven by large transactions in Asia and strong core business in the US, partly offset by adverse experience, as well as valuation and assumption updates (mainly in the US and EMEA).
  • The Corporate Solutions underwriting contribution is negatively impacted by large natural catastrophes in the US as well as the high severity and frequency of large man-made losses.
  • The Life Capital underwriting contribution is positive, resulting from favourable underwriting results.

The contribution from investment activities is negative, mainly driven by the impact of spread widening and negative equity performance as well as losses from Principal Investments.

The negative impact from foreign exchange movements on the SST NAV mainly reflects the weakening of major currencies against the US dollar.

Dividend payments and share repurchases lead to a decline in the SST NAV of USD 2.9 billion.

Deductions mainly reflect projected dividends and share repurchases (to be paid in 2019 and subject to AGM 2019 approval) as well as deferred taxes on real estate. These items decrease by USD 103 million compared to SST 2018.

Supplementary capital is recognised as risk bearing under SST. The change in SST supplementary capital of USD 1.1 billion reflects the redemption of a subordinated instrument as well as changes in the market value of the capital instruments.

A description of the change in market value margin, which represents the capital costs for the run-off period, is provided together with the SST TC comments below.