EVM sensitivities – online only

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Property & Casualty Reinsurance

 

Life & Health Reinsurance

 

Corporate Solutions

 

Life Capital1

 

Swiss Re Group

USD billions

Change in 2019 EVM new business profit

Change in economic net worth as of 31.12.2019

 

Change in 2019 EVM new business profit

Change in economic net worth as of 31.12.2019

 

Change in 2019 EVM new business profit

Change in economic net worth as of 31.12.2019

 

Change in 2019 EVM new business profit

Change in economic net worth as of 31.12.2019

 

Change in 2019 EVM new business profit

Change in economic net worth as of 31.12.2019

1

Life Capital and Group EVM sensitivities exclude the impacts originating from ReAssure, as the sale of ReAssure is already recognised in the 2019 EVM financial statements.

2

This sensitivity illustrates the impact of parallel shifts in risk-free interest rates on the balance sheet. The business volume is assumed to be constant.

3

The assumption is that future mortality/morbidity rates are lower than those assumed in the base calculations by a uniform 5% in all future years. The related impact on profit share agreements and changes in premium rates have been reflected.

4

The base calculations reflect gradual future improvements in mortality rates. The impact of excluding such future improvements is illustrated here. The related impact on profit share agreements and changes in premium rates have been reflected.

5

This sensitivity illustrates the impact of increasing the improvement in mortality rates by 100bps for all ages throughout the projections. The related impact on profit share agreements and changes in premium rates have been reflected.

 

All sensitivities exclude the impact on additional taxes.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Change in frictional capital costs:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Increase by 100bps (from 4.5% to 5.5%)

–0.1

–0.5

 

–0.1

–1.3

 

0.0

0.0

 

0.0

0.0

 

–0.3

–1.9

Financial market shocks:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

25% decrease in equity values

–0.9

–0.9

 

–0.1

–0.1

 

0.0

0.0

 

–0.4

–0.4

 

–2.0

–2.0

25% decrease in property values

–1.3

–1.3

 

–0.1

–0.1

 

0.0

0.0

 

0.0

0.0

 

–1.4

–1.4

50bps increase in credit spreads

n/a

–0.3

 

n/a

–1.0

 

n/a

–0.1

 

n/a

–0.1

 

n/a

–1.5

Change in reference rates (yield curve):2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Increase by 50bps

n/a

0.1

 

n/a

–0.2

 

n/a

0.0

 

n/a

0.0

 

n/a

–0.1

Decrease by 50bps

n/a

0.0

 

n/a

0.1

 

n/a

0.0

 

n/a

0.0

 

n/a

0.1

Inclusion of a liquidity premium in the valuation of EVM net insurance liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Set reference rates equal to government rates plus 10bps

n/a

0.2

 

n/a

0.2

 

n/a

0.0

 

n/a

0.0

 

n/a

0.5

Set reference rates equal to government rates plus 50bps

n/a

1.2

 

n/a

1.0

 

n/a

0.1

 

n/a

0.1

 

n/a

2.4

Set reference rates equal to government rates plus 100bps

n/a

2.3

 

n/a

1.9

 

n/a

0.2

 

n/a

0.2

 

n/a

4.6

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Reduce lapse rates by 10% (eg from 8.0% to 7.2%)

n/a

n/a

 

0.1

0.5

 

n/a

n/a

 

0.0

0.1

 

0.1

0.6

Mortality and morbidity rates reduced by 5%:3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Mortality

n/a

n/a

 

0.2

3.9

 

n/a

n/a

 

0.0

0.1

 

0.2

4.0

Longevity

n/a

n/a

 

–0.1

–0.5

 

n/a

n/a

 

0.0

0.0

 

–0.1

–0.5

Morbidity

n/a

n/a

 

0.2

1.2

 

n/a

n/a

 

0.0

0.0

 

0.2

1.2

Remove all allowance for future mortality improvement:4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Mortality

n/a

n/a

 

–0.6

–10.3

 

n/a

n/a

 

0.0

–0.2

 

–0.6

–10.5

Longevity

n/a

n/a

 

0.4

1.3

 

n/a

n/a

 

0.0

0.0

 

0.4

1.3

Increase future mortality improvement assumption by 100bps p.a.:5

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Mortality

n/a

n/a

 

0.6

9.8

 

n/a

n/a

 

0.0

0.2

 

0.6

10.0

Longevity

n/a

n/a

 

–0.5

–1.4

 

n/a

n/a

 

0.0

0.0

 

–0.5

–1.4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Change in weighted average term to settlement:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Increase by 10%

0.1

0.4

 

n/a

n/a

 

0.0

0.0

 

n/a

n/a

 

0.1

0.4

Decrease by 10%

–0.1

–0.4

 

n/a

n/a

 

0.0

0.0

 

n/a

n/a

 

–0.1

–0.4

Projected future claims cost:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Increase new business claims by 10%

–1.3

–1.3

 

n/a

n/a

 

–0.1

–0.1

 

n/a

n/a

 

–1.4

–1.4