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 dividend payments and share buyback programmes).

The increase in SST NAV to USD 49.2 billion is mainly driven by underwriting and investment contributions, partially offset by dividends paid, share buyback programmes and other contributions.

The overall contribution from underwriting activities is positive, mainly reflecting underwriting contributions from Life & Health Reinsurance, partially offset by negative underwriting contributions from Property & Casualty Reinsurance, Corporate Solutions and Life Capital:

• The Life & Health Reinsurance contribution is mainly driven by strong transactional business growth in EMEA and the Americas as well as core business performance in the Americas, partially offset by adverse assumptions updates in the Americas and Asia.
• The Property & Casualty Reinsurance negative contribution reflects natural catastrophe losses, including typhoons Hagibis and Faxai in Japan, Hurricane Dorian in the Americas, Typhoon Jebi claims update, adverse industry trends for US casualty, Ethiopian Airlines crash and subsequent Boeing 737 MAX grounding, as well as a loss from the adverse development cover with Swiss Re Corporate Solutions Ltd.
• The Corporate Solutions negative contribution reflects previous years’ business developments from reserving actions, large and medium-sized man-made losses, mainly relating to adverse industry trends for US casualty business. This is partially offset by a positive recovery from the adverse development cover with Swiss Reinsurance Company Ltd and rate hardening.
• The Life Capital underwriting contribution to SST NAV is negative, driven by expenses incurred for growing the open book businesses and underperformance of elipsLife.

The contribution from investment activities is positive, mainly driven by the impact of credit spread tightening and positive performance across equities and alternative investments.

Dividend payments and share buyback programmes lead to a decline in the SST NAV of USD 2.6 billion.

Deductions mainly reflect projected dividends and share buyback programmes (to be paid in 2020 and subject to AGM 2020 approval and subsequent BoD approval), as well as deferred taxes on real estate. These items increase by USD 116 million compared to SST 2019.

Supplementary capital is recognised as risk bearing under SST. The change in SST supplementary capital of USD 1.8 billion mainly reflects the issuance of one new senior and the replacement of two subordinated debt 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 target capital comments below.