2022 FULL-YEAR Annual Report – TCFD

Swiss Re has a long-standing commitment   to sustainable, long-term value creation. The Group Sustainability Strategy 2023-2025 applies to all its business activities, with targets seeking to support the achievement of Swiss Re's ambitions for the short and medium term (the next ten years), as well   as for the long term (until 2050). The   first ambition of the Group Sustainability Strategy centres on climate mitigation   and decarbonisation, while the second focuses on climate adaptation and disaster resilience complemented by financial inclusion and healthcare protection.

Swiss Re has committed to net-zero greenhouse gas (GHG) emissions by 2050.1 The company aims to contribute to accelerating the transition to a low-carbon

economy by de-risking transition projects and infrastructure, scaling up sustainable investments, decarbonising its operations and working with suppliers, clients   and investees to support them in doing   the same.

To advance the net-zero GHG transition in the re/insurance industry, global standards   are needed for measuring and disclosing GHG emissions and for setting related targets. As a founding member of the Net-Zero Asset Owner Alliance (AOA) and the Net-Zero Insurance Alliance (NZIA), Swiss Re is actively engaged in these discussions. In 2022, Swiss Re chaired   the development of the first version of the NZIA Target-Setting Protocol (TSP) and  

the Partnership for Carbon Accounting Financials (PCAF) Working Group   that developed the Accounting and Reporting Standard for Insurance- Associated Emissions. The results of these collaborations support Swiss Re's ambition to reach net-zero GHG emissions by 2050.

Swiss Re's Group CEO Christian Mumenthaler is Co-Chair of the WEF Alliance of CEO Climate Leaders, which aims to accelerate climate action across value chains. The Alliance consists of   over 120 CEOs from the world's largest corporations who have committed to net-zero GHG emissions in their own operations and across their value   chains by 2050.

• Property re/insurance for natural catastrophe risksis one of Swiss Re's core business areas and is exposed to physical risk from climate change. As policy terms and pricing are renegotiated annually, Swiss Re continuously adapts its pricing models to the most recent loss experience and scientific evidence relating to all major risk factors. This includes the impact of climate change, however, this is only one of many risk factors. The results of a scenario analysis for tropical cyclones (Swiss Re's largestweather-relatedexposures) suggest that in the long term (ie 2050), the projected increases in annual expected losses will not exceed the increase in insuredweather-relatedlosses over the past three decades.
• Other re/insurance portfolios,such as life & health or agriculture, are   also exposed to physical risk from   climate change. However, only certainsub-segmentsof the agriculture reinsurance book are affected. These are controlled through an annual review of assumptions, pricing and policy terms.

• Inlife & health, more frequent and intense heatwaves, air pollution from wildfires and vector-borne diseases are likely to increase mortality, while climate change is expected to lead to fewer deaths linked to cold temperatures. Climate change is only one of many risk drivers, some of which can contribute to lower mortality and morbidity rates.   The risks in life & health are mitigated through systematic review processes   for mortality assumptions based on the latest available scientific evidence.
• In Swiss Re's view,the transition to alow-carboneconomy is not likely to present a material financial risk for its re/insurance activities. Swiss Re is continuing to reduce its exposure to carbon-intense business and expects that the associated risks can be managed effectively, primarily through the annual renewal of contracts and assumptions based on the most recent historic loss experience and scientific evidence. Furthermore, the climate-related policies of Swiss Re's ESG Risk Framework  

ensure that risks associated with transactions are identified, assessed   and addressed.

• Swiss Re's approach to managinginvestment-relatedclimate risk involves the systematic monitoring of   the carbon intensity of its corporate   bond, listed equity and government   bond portfolios, and parts of the real estate portfolio. For the corporate   bond and listed equity portfolios, Swiss Re also tracks temperature scores.
• Swiss Re continues to assess theimpact of different climate change scenarios on underwriting and investment activities. The results for investments indicate that Swiss Re's portfolio runs   a more limited transition risk in the short to medium term when it comes to an orderly scenario. Under a disorderly scenario, the implications, especially   for climate-sensitive industries, are expected to be more severe. Analytics further suggest physical risks to be relevant in the long term but manageable for the real asset holdings.

Climate-related physical and transition risks also present opportunities for underwriting and investment activities:

• Swiss Re's natural catastrophe re/insurance business is expected   to grow strongly over the coming decades due to economic growth, urbanisation and climate change.
• Its proprietary natural catastrophe loss modeling framework helps Swiss Re to provide innovative products and services to deal with the physical risks of climate change. In 2022, for example, Swiss Re

helped corporate clients to quantify   their physical climate risk exposure with its proprietary Climate Risk Scores.

• The transition to a low-carbon economy offers business opportunities across a range of sectors such as power and energy, materials and processes, logistics and transport, as well as agroforestry and food. Swiss Re is well positioned to support this transition with re/insurance cover, and is particularly active in the renewable energy sector. In 2022, Swiss Re underwrote direct and

facultative re/insurance for more than 12 000 renewable energy generation facilities, which have the potential to avoid around 41 million tonnes of   CO2 emissions annually.

• Green, social and sustainability bonds contribute tofinancing the transition to alow-carboneconomy. By the end   of 2022, Swiss Re had achieved around 95% of its target of USD 4 billion by year-end 2024 for such bonds.

In line with the Paris Agreement, Swiss Re aspires to reach net-zero GHG emissions   by 2050:

• Swiss Re will publish absolute GHG emissions associated with selected direct and facultative re/insurance portfolios,   as well as a respective target by July 2023 based on NZIA's Target-Setting Protocol and the PCAF Standard.
• Swiss Re prepared the implementation of the Thermal Coal Policy extension for reinsurance treaties that became effective at the beginning of 2023.
• In 2022, Swiss Re furthertightened its Oil and Gas Policy for direct and facultative re/insurance.
• Swiss Re is currently developing an approach for oil and gas in treaty reinsurance and will communicate on progress later in 2023.

• For its corporate bond and listed equity portfolio as well as parts of   the real estate portfolio, Swiss Re   has set intermediate carbon intensity reduction targets. Swiss Re also aims   to fully exit fromcoal-basedassets   for its listed equity and corporate bond portfolios by 2030, and limit maturities for fossilfuel-relatedinvestments for   its infrastructure debt and corporate   private placement portfolios.

• In 2019, Swiss Re committed to net-zero GHG emissions in its operations by 2030. To achieve this target, the company follows the motto "Do our best, remove the rest". The internal Carbon Steering Levy incentivises greenhouse gas emission reduction. In 2022, this levy was USD 112 per tonne   of CO2e. It is set to increase to USD 200 by 2030 and provides the funds to   fully compensate residual emissions through carbon removal solutions
  by 2030.

Task Force on Climate-related Financial Disclosures of the Financial Stability Board (TCFD)

Swiss Re has played an active role in   the TCFD since its creation by the Financial Stability Board, and began to reflect the TCFD recommendationsin   the 2016 Financial Report. Since then, Swiss Re has continued to expand its climate-related reporting structured along the TCFD's four pillars and eleven recommended disclosures.